Determination of vector error correction models in high dimensions
Chong Liang, Melanie Schienle
| Year of publication: |
2019
|
|---|---|
| Authors: | Liang, Chong ; Schienle, Melanie |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 208.2019, 2, p. 418-441
|
| Subject: | High-dimensional time series | VECM | Cointegration rank and lag selection | Lasso | Credit default swap | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Kreditderivat | Credit derivative | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.09.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012145046