Testing for co-integration in vector autoregressions with non-stationary volatility
Giuseppe Cavaliere; Anders Rahbek; A. M. Robert Taylor
| Year of publication: |
2010
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|---|---|
| Authors: | Cavaliere, Giuseppe ; Rahbek, Anders ; Taylor, Robert |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 158.2010, 1, p. 7-24
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| Subject: | Kointegration | Cointegration | VAR-Modell | VAR model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008826880