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Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, Giuseppe (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003788886
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Bootstrap sequential determination of the co-integration rank in VAR-models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - 2010
Persistent link: https://www.econbiz.de/10003932344
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Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - 2013
Persistent link: https://www.econbiz.de/10010206033
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Bootstrap determination of the co-integration rank in heteroskedastic VAR models
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - 2012
Persistent link: https://www.econbiz.de/10009614389