Unit root vector autoregression with volatility induced stationarity
Heino Bohn Nielsen; Anders Rahbek
| Year of publication: |
2014
|
|---|---|
| Authors: | Bohn Nielsen, Heino ; Rahbek, Anders |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 29.2014, p. 144-167
|
| Subject: | Vector autoregression | Unit root | Reduced rank | Volatility induced stationarity | Term structure | Double autoregression | Zeitreihenanalyse | Time series analysis | Einheitswurzeltest | Unit root test | Zinsstruktur | Yield curve | ARCH-Modell | ARCH model | Theorie | Theory | Modellierung | Scientific modelling | VAR-Modell | VAR model | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| 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/10011300499