Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

Niklas Ahlgren; Jan Antell

Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

Forskningsoutput: Bok/rapport › Beställd rapport

Originalspråk	Engelska

Utgivningsort	Helsinki
Förlag	Swedish School of Economics and Business Administration
Antal sidor	40
ISBN (tryckt)	0357-4598, 951-555-925-1
Status	Publicerad - 2006
MoE-publikationstyp	D4 Publicerad utvecklings- eller forskningsrapport eller -utredning

Publikationsserier

Namn	Swedish School of Economics and Business Administration. Working Papers
Förlag	Swedish School of Economics and Business Administration
ISSN (tryckt)	0357-4598

Nyckelord

512 Företagsekonomi

Åtkomst av dokument

http://brunnen.shh.fi/portals/pubmanager/pdf/519-951-555-925-1.pdf

2 Slutfört

INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS
Ahlgren, N.
01.01.1999 → 31.12.2002
Projekt: Externt finansierat projekt
FINANCIAL MARKETS AND TIME SERIES
Ahlgren, N. & Antell, J.
01.03.1998 → 31.12.2012
Projekt: Externt finansierat projekt

Citera det här

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title = "Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series",

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author = "Niklas Ahlgren and Jan Antell",

year = "2006",

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series = " Swedish School of Economics and Business Administration. Working Papers",

publisher = "Swedish School of Economics and Business Administration",

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AU - Ahlgren, Niklas

AU - Antell, Jan

PY - 2006

Y1 - 2006

KW - 512 Business and Management

KW - bootstrap

KW - cointegration

KW - financial time series

KW - likelihood ratio test

M3 - Commissioned report

SN - 0357-4598

SN - 951-555-925-1

T3 - Swedish School of Economics and Business Administration. Working Papers

BT - Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

PB - Swedish School of Economics and Business Administration

CY - Helsinki

ER -

Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

Publikationsserier

Nyckelord

Åtkomst av dokument

INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS

FINANCIAL MARKETS AND TIME SERIES

Citera det här