Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

N. Ahlgren; J. Antell

doi:10.1016/j.csda.2008.03.025

Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

Research output: Contribution to journal › Article › Scientific › peer-review

8 Citations (Scopus)

Original language	English
Peer-reviewed scientific journal	Computational Statistics & Data Analysis
Volume	52
Pages (from-to)	4754-4767
Number of pages	14
DOIs	https://doi.org/10.1016/j.csda.2008.03.025
Publication status	Published - 2008
MoE publication type	A1 Journal article - refereed

Keywords

AUTOREGRESSIVE MODELS
VECTORS
POWER

Access to Document

10.1016/j.csda.2008.03.025

2 Finished

INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS
Ahlgren, N.
01.01.1999 → 31.12.2002
Project: Externally funded project
FINANCIAL MARKETS AND TIME SERIES
Ahlgren, N. & Antell, J.
01.03.1998 → 31.12.2012
Project: Externally funded project

Cite this

@article{f1c6f2693516405aa26ec5ab4a0485c7,

title = "Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series",

keywords = "AUTOREGRESSIVE MODELS, VECTORS, POWER",

author = "N. Ahlgren and J. Antell",

year = "2008",

doi = "10.1016/j.csda.2008.03.025",

language = "English",

volume = "52",

pages = "4754--4767",

journal = "Computational Statistics and Data Analysis",

issn = "0167-9473",

publisher = "Elsevier BV",

}

TY - JOUR

T1 - Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

AU - Ahlgren, N.

AU - Antell, J.

PY - 2008

Y1 - 2008

KW - AUTOREGRESSIVE MODELS

KW - VECTORS

KW - POWER

U2 - 10.1016/j.csda.2008.03.025

DO - 10.1016/j.csda.2008.03.025

M3 - Article

VL - 52

SP - 4754

EP - 4767

JO - Computational Statistics and Data Analysis

JF - Computational Statistics and Data Analysis

SN - 0167-9473

ER -

Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

Keywords

Access to Document

Projects

INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS

FINANCIAL MARKETS AND TIME SERIES

Cite this