On the power and size properties of cointegration tests in the light of high-frequency stylized facts
Year of publication: |
March 2017
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Authors: | Krauss, Christopher ; Herrmann, Klaus |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 10.2017, 1, p. 1-24
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Subject: | cointegration testing | high-frequency | stylized facts | conditional heteroskedasticity | smooth transition autoregressive models | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Schätzung | Estimation | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm10010007 [DOI] hdl:10419/178587 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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