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An extension of cointegration to fractional autoregressive processes
Johansen, Søren - 2010
Persistent link: https://www.econbiz.de/10008663021
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An invariance property of the common trands under linear transformations of the data
Johansen, Søren; Jusélius, Katarina - 2010
Persistent link: https://www.econbiz.de/10008688532
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An extension of cointegration to fractional autoregressive processes
Johansen, Søren - 2011
Persistent link: https://www.econbiz.de/10008810484
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Allowing the data to speak freely : the macroeconometrics of the cointegrated vector autoregression
Hoover, Kevin D. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003603883
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Do realized skewness and kurtosis predict the cross-section of equity returns?
Amaya, Diego (contributor) - 2011
Persistent link: https://www.econbiz.de/10009385117
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Explaining asset prices with low risk aversion and low intertemporal substitution
Andreasen, Martin Møller; Jørgensen, Kasper - 2016
Persistent link: https://www.econbiz.de/10011474816
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Testing for level shifts in fractionally integrated processes : a state space approach
Delle Monache, Davide; Grassi, Stefano; Santucci de … - 2015
Persistent link: https://www.econbiz.de/10011296884
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Controlling inflation in a cointegrated vector autoregressive model with an application to U.S. data
Johansen, Søren (contributor);  … - 2001
Persistent link: https://www.econbiz.de/10001592931
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Bond risk premiums at the zero lower bound
Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019
Persistent link: https://www.econbiz.de/10012063987