The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Niklas Ahlgren; Jan Antell

The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Research output: Book/Report › Commissioned report

Original language	English

Place of Publication	Helsingfors
Publisher	Hanken School of Economics
ISBN (Print)	978-952-232-039-1
Publication status	Published - 2009
MoE publication type	D4 Published development or research report or study

Publication series

Name	Hanken School of Economics Working Papers
Publisher	Hanken School of Economics
No.	541
ISSN (Print)	0357-4598

Keywords

512 Business and Management
bootstrap
cointegration
euribor interest rates
likelihood ratio test
test power

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http://urn.fi/URN:ISBN:978-952-232-039-1

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Full text

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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KW - euribor interest rates

KW - likelihood ratio test

KW - test power

M3 - Commissioned report

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BT - The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

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The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Publication series

Keywords

Access to Document

OpenUrl availability

Projects

FINANCIAL MARKETS AND TIME SERIES

Cite this