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~institution:"Department of Economics, Boston University"
~institution:"Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam."
~person:"Kejriwal, Mohitosh"
~person:"Verbeek, M.J.C.M."
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Kejriwal, Mohitosh
Verbeek, M.J.C.M.
Perron, Pierre
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Department of Economics, Boston University
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
Tilburg University, Center for Economic Research
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Research Paper / Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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Stress
Testing
with Student's t Dependence
Kole, H.J.W.G.
;
Koedijk, C.G.
;
Verbeek, M.J.C.M.
-
Erasmus Research Institute of Management (ERIM), ERIM …
-
2003
conducting stress tests. To properly include stress
testing
in a risk management system, it is important to have accurate …
Persistent link: https://www.econbiz.de/10005288424
Saved in:
2
Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses
Kejriwal, Mohitosh
;
Perron, Pierre
-
Department of Economics, Boston University
-
2006
series is present. The motivation was to devise
testing
procedures that were invariant to the magnitude of the shift in level … analysis was carried under the assumption of a known break date. The subsequent literature aimed to devise
testing
procedures … information is not exploited to improve the power of the test. In this paper, we propose a
testing
procedure that addresses both …
Persistent link: https://www.econbiz.de/10004972924
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