Tests of cointegration rank with strong persistence in volatility: An application to the pricing of risk in the long run

Niklas Ahlgren, Paul Catani

Research output: Chapter in Book/Report/Conference proceedingChapterScientificpeer-review

Original languageEnglish
Title of host publicationContributions to Mathematics, Statistics, Econometrics, and Finance : Essays in Honour of Professor Seppo Pynnönen
EditorsJohan Knif, Bernd Pape
Number of pages17
Place of PublicationVaasa
PublisherUniversity of Vaasa
Publication date2014
Pages153-169
ISBN (Print)978–952–476–522–0
ISBN (Electronic)978–952–476–523–7
Publication statusPublished - 2014
MoE publication typeA3 Book chapter

Publication series

NameActa Wasaensia
PublisherUniversity of Vaasa
Volume296
ISSN (Print)0355–2667
ISSN (Electronic)2323–9123
NameActa Wasaensia. Statistics
PublisherUniversity of Vaasa
Volume7
ISSN (Print)1235-7936
ISSN (Electronic)2342-1282

Keywords

  • 112 Statistics and probability
  • KOTA2014

Cite this

Ahlgren, N., & Catani, P. (2014). Tests of cointegration rank with strong persistence in volatility: An application to the pricing of risk in the long run. In J. Knif, & B. Pape (Eds.), Contributions to Mathematics, Statistics, Econometrics, and Finance: Essays in Honour of Professor Seppo Pynnönen (pp. 153-169). (Acta Wasaensia; Vol. 296), (Acta Wasaensia. Statistics; Vol. 7). Vaasa: University of Vaasa.