Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors: An Application to the Pricing of Risk in the Long Run

Niklas Ahlgren; Paul Catani

Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors: An Application to the Pricing of Risk in the Long Run

Niklas Ahlgren
, Paul Catani

Ekonomisk statistik, Helsingfors

Forskningsoutput: Kapitel i bok/rapport/konferenshandling › Konferensbidrag › Vetenskaplig

Originalspråk	Engelska
Titel på värdpublikation	ICASE 2017 : International Conference on Applied Statistics and Econometrics 27-28 April 2017 : Proceedings
Redaktörer	Ugur Ergun, Jonada Tafa
Antal sidor	2
Utgivningsort	Tirana
Förlag	Epoka University
Utgivningsdatum	27.04.2017
Sidor	99-100
ISBN (tryckt)	978-9928-135-20-9
Status	Publicerad - 27.04.2017
MoE-publikationstyp	B3 Icke-referentgranskad artikel i konferenspublikation
Evenemang	1st International Conference on Applied Statistics and Econometrics (ICASE) - Tirana, Albanien Varaktighet: 27.04.2017 → 28.04.2017 Konferensnummer: 1

Nyckelord

112 Statistik
511 Nationalekonomi

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Ahlgren, Niklas ; Catani, Paul. / Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors : An Application to the Pricing of Risk in the Long Run. ICASE 2017 : International Conference on Applied Statistics and Econometrics 27-28 April 2017: Proceedings. redaktör / Ugur Ergun ; Jonada Tafa. Tirana : Epoka University, 2017. s. 99-100

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title = "Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors: An Application to the Pricing of Risk in the Long Run",

keywords = "112 Statistics and probability, Cointegration, Credit risk, Heavy tails, Conditional heteroskedasticity, 511 Economics, Cointegration, Credit risk, Heavy tails, Conditional heteroskedasticity",

author = "Niklas Ahlgren and Paul Catani",

note = " Volume: Proceeding volume: ; 1st International Conference on Applied Statistics and Econometrics (ICASE), ICASE ; Conference date: 27-04-2017 Through 28-04-2017",

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Ahlgren, N & Catani, P 2017, Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors: An Application to the Pricing of Risk in the Long Run. i U Ergun & J Tafa (red), ICASE 2017 : International Conference on Applied Statistics and Econometrics 27-28 April 2017: Proceedings. Epoka University, Tirana, s. 99-100, 1st International Conference on Applied Statistics and Econometrics (ICASE), Tirana, Albanien, 27.04.2017.

Practical Problems with Tests of Cointegration Rank with Strong Persistence and Heavy-Tailed Errors: An Application to the Pricing of Risk in the Long Run. / Ahlgren, Niklas; Catani, Paul.
ICASE 2017 : International Conference on Applied Statistics and Econometrics 27-28 April 2017: Proceedings. red. / Ugur Ergun; Jonada Tafa. Tirana: Epoka University, 2017. s. 99-100.

Forskningsoutput: Kapitel i bok/rapport/konferenshandling › Konferensbidrag › Vetenskaplig

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KW - Heavy tails

KW - Conditional heteroskedasticity

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