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Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdaten

Lütkepohl, Helmut - In: Finanzmarktanalyse und -prognose mit innovativen …, (pp. 145-171). 1996

Persistent link: https://www.econbiz.de/10001318068

Analiza szeregów czasowych a statystyczny pomiar ryzyka

Trzpiot, Grażyna (contributor) - 2012

Persistent link: https://www.econbiz.de/10009737464

Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break

Trenkler, Carsten; Saikkonen, Pentti; Lütkepohl, Helmut - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...

Persistent link: https://www.econbiz.de/10005861271