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

Niklas Ahlgren; Jan Antell

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

Research output: Book/Report › Commissioned report

Original language	English

Place of Publication	Helsinki
Publisher	Swedish School of Economics and Business Administration
Number of pages	40
ISBN (Print)	0357-4598, 951-555-925-1
Publication status	Published - 2006
MoE publication type	D4 Published development or research report or study

Publication series

Name	Swedish School of Economics and Business Administration. Working Papers
Publisher	Swedish School of Economics and Business Administration
ISSN (Print)	0357-4598

Keywords

512 Business and Management
bootstrap
cointegration
financial time series
likelihood ratio test

Access to Document

http://brunnen.shh.fi/portals/pubmanager/pdf/519-951-555-925-1.pdf

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Full text

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

Cite this

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AU - Antell, Jan

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KW - bootstrap

KW - cointegration

KW - financial time series

KW - likelihood ratio test

M3 - Commissioned report

SN - 0357-4598

SN - 951-555-925-1

T3 - Swedish School of Economics and Business Administration. Working Papers

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

PB - Swedish School of Economics and Business Administration

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

Publication series

Keywords

Access to Document

OpenUrl availability

Projects

INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS

FINANCIAL MARKETS AND TIME SERIES

Cite this