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

Research output: Book/ReportCommissioned reportProfessional

Original languageEnglish
Place of PublicationHelsingfors
PublisherHanken School of Economics
ISBN (Print)978-952-232-039-1
Publication statusPublished - 2009
MoE publication typeD4 Published development or research report or study

Publication series

NameHanken School of Economics Working Papers
PublisherHanken School of Economics
No.541
ISSN (Print)0357-4598

Keywords

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

Projects

FINANCIAL MARKETS AND TIME SERIES

Ahlgren, N. & Antell, J.

01.03.199831.12.2012

Project: Externally funded project

Cite this