Inference in conditional vector error correction models with a small signal-to-noise ratio
Nikolay Gospodinov, Alex Maynard and Elena Pesavento
| Year of publication: |
2023
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|---|---|
| Authors: | Gospodinov, Nikolaj ; Maynard, Alex ; Pesavento, Elena |
| Published in: |
Essays in honor of Joon Y. Park : econometric theory. - Bingley, U.K. : Emerald Publishing Limited, ISBN 978-1-83753-210-0. - 2023, p. 295-318
|
| Subject: | Cointegration | vector error correction models | local-to-unityasymptotics | local-to-zero variance | spot and forward exchange rates | forward premium regression | Schätztheorie | Estimation theory | Kointegration | Währungsderivat | Currency derivative | Wechselkurs | Exchange rate |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1108/S0731-90532023000045A010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014313744