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

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

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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isbn = "0357-4598",

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

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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

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

Publikationsserier

Nyckelord

Åtkomst av dokument

OpenUrl-tillgänglighet

Projekt

INFERENCE ON COINTEGRATION IN VECTOR AUTOREGRESSIVE MODELS

FINANCIAL MARKETS AND TIME SERIES

Citera det här