Simulation analysis of the impact of volatility clustering upon the finite-sample distribution of threshold cointegration tests
Year of publication: |
2008
|
---|---|
Authors: | Cook, Steven |
Published in: |
Applied financial economics letters. - Abingdon : Routledge, ISSN 1744-6546, ZDB-ID 2175172-9. - Vol. 4.2008, 1/3, p. 59-63
|
Subject: | Theorie | Theory | Simulation | Volatilität | Volatility | Kointegration | Cointegration |
-
Gallegos-David, Alberto, (2022)
-
Optimal pairs trading with time-varying volatility
Li, Thomas Nanfeng, (2016)
-
Excess comovements between the euro/US dollar and pound sterling/US dollar exchange rates
Kühl, Michael, (2018)
- More ...
-
A Note on Business Cycle Non-Linearity in U. S. Consumption
Cook, Steven, (2003)
-
A neglected controversy in the modelling of consumers' expenditure
Cook, Steven, (1997)
-
Forecasting the growth in consumers' expenditure : the treasury model
Cook, Steven, (1997)
- More ...