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

Niklas Ahlgren; Paul Catani

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

Statistics, Helsinki

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Scientific › peer-review

Original language	English
Title of host publication	Contributions to Mathematics, Statistics, Econometrics, and Finance : Essays in Honour of Professor Seppo Pynnönen
Editors	Johan Knif, Bernd Pape
Number of pages	17
Place of Publication	Vaasa
Publisher	University of Vaasa
Publication date	2014
Pages	153-169
ISBN (Print)	978–952–476–522–0
ISBN (Electronic)	978–952–476–523–7
Publication status	Published - 2014
MoE publication type	A3 Book chapter

Publication series

Name	Acta Wasaensia
Publisher	University of Vaasa
Volume	296
ISSN (Print)	0355–2667
ISSN (Electronic)	2323–9123

Name	Acta Wasaensia. Statistics
Publisher	University of Vaasa
Volume	7
ISSN (Print)	1235-7936
ISSN (Electronic)	2342-1282

Keywords

112 Statistics and probability
KOTA2014

Access to Document

http://www.uva.fi/materiaali/pdf/isbn_978–952–476–523–7.pdf

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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). University of Vaasa. http://www.uva.fi/materiaali/pdf/isbn_978–952–476–523–7.pdf

Ahlgren, Niklas ; Catani, Paul. / Tests of cointegration rank with strong persistence in volatility : An application to the pricing of risk in the long run. Contributions to Mathematics, Statistics, Econometrics, and Finance: Essays in Honour of Professor Seppo Pynnönen. editor / Johan Knif ; Bernd Pape. Vaasa : University of Vaasa, 2014. pp. 153-169 (Acta Wasaensia). (Acta Wasaensia. Statistics).

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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. Acta Wasaensia, vol. 296, Acta Wasaensia. Statistics, vol. 7, University of Vaasa, Vaasa, pp. 153-169. <http://www.uva.fi/materiaali/pdf/isbn_978–952–476–523–7.pdf>

Tests of cointegration rank with strong persistence in volatility: An application to the pricing of risk in the long run. / Ahlgren, Niklas; Catani, Paul.
Contributions to Mathematics, Statistics, Econometrics, and Finance: Essays in Honour of Professor Seppo Pynnönen. ed. / Johan Knif; Bernd Pape. Vaasa: University of Vaasa, 2014. p. 153-169 (Acta Wasaensia; Vol. 296), (Acta Wasaensia. Statistics; Vol. 7).

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Scientific › peer-review

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