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Simulation-based approaches in financial econometrics

Sjölander, Pär - 2007

Persistent link: https://www.econbiz.de/10003738168

A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances

Sjölander, Pär - In: Applied financial economics 18 (2008) 7/9, pp. 527-558

Persistent link: https://www.econbiz.de/10003739218

Unreal exchange rates : a simulation-based approach to adjust misleading PPP estimates

Sjölander, Pär - In: Journal of economic studies 34 (2007) 3/4, pp. 256-288

Persistent link: https://www.econbiz.de/10003555722

Are the Basel II requirements justified in the presence of structural breaks?

Sjölander, Pär - In: Applied financial economics 19 (2009) 10/12, pp. 985-998

The Basel Accord and the Swedish regulatory authority Finansinspektionen stipulate that banks and securities firms are obliged to estimate their Internal Risk Management Models (IRMMs) based on a minimum time series estimation period length of 1 year back in time. In this article, the Minimum...

Persistent link: https://www.econbiz.de/10003856891

A ridge bootstrap method for analyzing APT effects on the mortgage loan market

Sjölander, Pär - In: Economic modelling 30 (2013), pp. 844-855

Persistent link: https://www.econbiz.de/10009708788

The efficiency of the Scandinavian banking sector : a wavelet quantile regression analysis

Sjölander, Pär; Shukur, Ghazi; Månsson, Kristofer; … - In: Applied economics 47 (2015) 49/51, pp. 5378-5389

Persistent link: https://www.econbiz.de/10011341807

Regional economic concentration and growth : the effects of agglomeration in different types of regions

Hacker, Scott; Klaesson, Johan; Pettersson, Lars; … - In: Metropolitan regions : knowledge infrastructures of the …, (pp. 117-139). 2013

Persistent link: https://www.econbiz.de/10009767207

Testing for panel unit roots in the presence of spatial dependency

Månsson, Kristofer; Shukur, Ghazi; Sjölander, Pär - In: Applied economics 45 (2013) 28/30, pp. 4152-4159

Persistent link: https://www.econbiz.de/10010345751

Testing for nonlinear panel unit roots under cross-sectional dependency : with an application to the PPP hypothesis

Månsson, Kristofer; Sjölander, Pär - In: Economic modelling 38 (2014), pp. 121-132

Persistent link: https://www.econbiz.de/10010418139

Developing interaction shrinkage parameters for the liu estimator : with an application to the electricity retail market

Shukur, Ghazi; Månsson, Kristofer; Sjölander, Pär - In: Computational economics 46 (2015) 4, pp. 539-550

Persistent link: https://www.econbiz.de/10011478513