A covariate residual-based cointegration test applied to the CDS-bond basis
Aaron Game and Jason Wu
| Year of publication: |
2013
|
|---|---|
| Authors: | Game, Aaron ; Wu, Jason |
| Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 5.2013, 2, p. 163-192
|
| Subject: | cointegration | stationary covariates | local asymptotic power | CDS basis | Kointegration | Cointegration | Kreditderivat | Credit derivative | Statistischer Test | Statistical test | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | 10.1515/jtse-2012-0020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010225442