Unit Root Vector Autoregression with Volatility Induced Stationarity
Year of publication: |
2012
|
---|---|
Authors: | Rahbek, Anders |
Other Persons: | Nielsen, Heino Bohn (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Zeitreihenanalyse | Time series analysis | Modellierung | Scientific modelling | Schätztheorie | Estimation theory | Einheitswurzeltest | Unit root test | Zinsstruktur | Yield curve | Baumwollmarkt | Cotton market |
Extent: | 1 Online-Ressource (37 p) |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 8, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.2083452 [DOI] |
Classification: | C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Unit root vector autoregression with volatility induced stationarity
Bohn Nielsen, Heino, (2014)
-
Decision bounds for data-admissible seasonal models
Kunst, Robert M., (1997)
-
Taking a DSGE Model to the Data Meaningfully
Juselius, Katarina, (2011)
- More ...
-
An I(2) cointegration model with piecewise linear trends : likelihood analysis and application
Kurita, Takamitsu, (2009)
-
An I(2) cointegration model with piecewise linear trends : likelihood analysis and application
Kurita, Takamitsu, (2009)
-
The likelihood ratio test for cointegration ranks in the I(2) model
Bohn Nielsen, Heino, (2007)
- More ...