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Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren; Nyboe Tabor, Morten - 2017
Persistent link: https://www.econbiz.de/10011625471
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The role of cointegration for optimal hedging with heteroscedastic error term
Gatarek, Lukasz; Johansen, Søren - 2017
Persistent link: https://www.econbiz.de/10011625538
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Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
Franchi, Massimo; Johansen, Søren - 2017
Persistent link: https://www.econbiz.de/10011648634
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Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
Franchi, Massimo; Johansen, Søren - 2017
Persistent link: https://www.econbiz.de/10011654453
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The analysis of marked and weighted empirical processes ofestimated residuals
Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019
Persistent link: https://www.econbiz.de/10012099330
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Uniform consistency of marked and weighted empirical distributions of residuals
Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019
Persistent link: https://www.econbiz.de/10012100910
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Models where the least trimmed squares and least median of squares estimators are maximum likelihood
Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent - 2019
Persistent link: https://www.econbiz.de/10012101101
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Nonstationary cointegration in the fractionally cointegrated VAR model
Johansen, Søren; Nielsen, Morten Ørregaard - 2018
We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their con- sistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that...
Persistent link: https://www.econbiz.de/10011845794
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Nonstationary cointegration in the fractionally cointegrated VAR model
Johansen, Søren; Nielsen, Morten Ørregaard - 2018
Persistent link: https://www.econbiz.de/10011864979
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Nonstationary cointegration in the fractionally cointegrated VAR model
Johansen, Søren; Nielsen, Morten Ørregaard - 2018
Persistent link: https://www.econbiz.de/10011865936