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Tests for abnormal returns under weak cross sectional dependence

Ahlgren, Niklas; Antell, Jan - 2012

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Stock market linkages and financial contagion : a cobreaking analysis

Ahlgren, Niklas; Antell, Jan - In: The quarterly review of economics and finance : journal … 50 (2010) 2, pp. 157-166

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Cobreaking of stock prices and contagion

Ahlgren, Niklas (contributor); Antell, Jan (contributor) - 2008

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Bootstrap and fast double bootstrap tests of cointegration rank with financial time series

Ahlgren, Niklas (contributor); Antell, Jan (contributor) - 2006

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Testing for cointegration between international stock prices

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The power of bootstrap tests of cointegration rank with financial time series

Ahlgren, Niklas; Antell, Jan - 2009

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Tests for abnormal returns in the presence of event-induced cross-sectional correlation

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The influence of world factors on Finnish stock market volatility

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Bootstrapping the error correction model cointegration test

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Bootstrap and fast double bootstrap tests of cointegration rank with financial time series

Ahlgren, N.; Antell, J. - In: Computational Statistics & Data Analysis 52 (2008) 10, pp. 4754-4767

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. Bootstrap and fast double bootstrap (FDB) algorithms for the likelihood ratio test...

Persistent link: https://www.econbiz.de/10005165773