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

N. Ahlgren; J. Antell

doi:10.1016/j.csda.2008.03.025

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

Forskningsoutput: Tidskriftsbidrag › Artikel › Vetenskaplig › Peer review

10 Citeringar (Scopus)

Originalspråk	Engelska
Referentgranskad vetenskaplig tidskrift	Computational Statistics & Data Analysis
Volym	52
Sidor (från-till)	4754-4767
Antal sidor	14
DOI	https://doi.org/10.1016/j.csda.2008.03.025
Status	Publicerad - 2008
MoE-publikationstyp	A1 Originalartikel i en vetenskaplig tidskrift

Åtkomst av dokument

10.1016/j.csda.2008.03.025

OpenUrl-tillgänglighet

Fulltext

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

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

keywords = "AUTOREGRESSIVE MODELS, VECTORS, POWER",

author = "N. Ahlgren and J. Antell",

year = "2008",

doi = "10.1016/j.csda.2008.03.025",

language = "English",

volume = "52",

pages = "4754--4767",

journal = "Computational Statistics \& Data Analysis",

issn = "1872-7352",

publisher = "Elsevier BV",

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T1 - Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

AU - Ahlgren, N.

AU - Antell, J.

PY - 2008

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KW - AUTOREGRESSIVE MODELS

KW - VECTORS

KW - POWER

U2 - 10.1016/j.csda.2008.03.025

DO - 10.1016/j.csda.2008.03.025

M3 - Article

SN - 1872-7352

VL - 52

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JO - Computational Statistics & Data Analysis

JF - Computational Statistics & Data Analysis

ER -

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

Åtkomst av dokument

OpenUrl-tillgänglighet

Projekt

INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS

FINANCIAL MARKETS AND TIME SERIES

Citera det här