Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors: An Application to the Pricing of Risk in the Long Run

Niklas Ahlgren, Paul Catani

Research output: Chapter in Book/Report/Conference proceedingConference contributionScientific

Original languageEnglish
Title of host publicationICASE 2017 : International Conference on Applied Statistics and Econometrics 27-28 April 2017 : Proceedings
EditorsUgur Ergun, Jonada Tafa
Number of pages2
Place of PublicationTirana
PublisherEpoka University
Publication date27.04.2017
Pages99-100
ISBN (Print)978-9928-135-20-9
Publication statusPublished - 27.04.2017
MoE publication typeB3 Article in conference proceedings
Event1st International Conference on Applied Statistics and Econometrics (ICASE) - Tirana, Albania
Duration: 27.04.201728.04.2017
Conference number: 1

Keywords

  • 112 Statistics and probability
  • Cointegration
  • Credit risk
  • Heavy tails
  • Conditional heteroskedasticity
  • 511 Economics
  • Cointegration
  • Credit risk
  • Heavy tails
  • Conditional heteroskedasticity

Cite this

Ahlgren, N., & Catani, P. (2017). Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors: An Application to the Pricing of Risk in the Long Run. In U. Ergun, & J. Tafa (Eds.), ICASE 2017 : International Conference on Applied Statistics and Econometrics 27-28 April 2017: Proceedings (pp. 99-100). Tirana: Epoka University.