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Tests for abnormal returns under weak cross sectional dependence
Ahlgren, Niklas; Antell, Jan - 2012
Persistent link: https://www.econbiz.de/10009563473
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The power of bootstrap tests of cointegration rank with financial time series
Ahlgren, Niklas; Antell, Jan - 2009
Persistent link: https://www.econbiz.de/10003846167
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Cobreaking of stock prices and contagion
Ahlgren, Niklas (contributor); Antell, Jan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003734156
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Practical proposals for specifying k-nearest neighbours weights matrices
Gerkman, Linda; Ahlgren, Niklas - 2011
Persistent link: https://www.econbiz.de/10009157522
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Wild bootstrap tests for autocorrelation in vector autoregressive models
Ahlgren, Niklas; Catani, Paul - 2012
Persistent link: https://www.econbiz.de/10009614383
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Tests for cointegration rank and the initial condition
Ahlgren, Niklas; Juselius, Mikael - 2009
Persistent link: https://www.econbiz.de/10003833771
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Tests against stationary and explosive alternatives in vector autoregressive models
Ahlgren, Niklas (contributor); Nyblom, Jukka (contributor) - 2005
Persistent link: https://www.econbiz.de/10003227899
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Panel Cointegration of Chinese A and B Shares
Ahlgren, Niklas (contributor); Sjö, Bo (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003691561
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Pricing currency risk in the stock market: Empirical evidence from Finland and Sweden 1970-2009
Antell, Jan; Vaihekoski, Mika - 2011
We investigate the role of currency risk on stock markets in two interlinked Nordic countries exhibiting a gradual move from fixed to floating exchange rates. We apply the Ding and Engle (2001) covariance stationary specification in a multivariate GARCH-M setup to test a conditional...
Persistent link: https://www.econbiz.de/10012503017
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Pricing currency risk in the stock market: Empirical evidence from Finland and Sweden 1970-2009
Antell, Jan; Vaihekoski, Mika - Turun Kauppakorkeakoulu, Turun Yliopisto - 2011
We investigate the role of currency risk on stock markets in two interlinked Nordic countries exhibiting a gradual move from fixed to floating exchange rates. We apply the Ding and Engle (2001) covariance stationary specification in a multivariate GARCH-M setup to test a conditional...
Persistent link: https://www.econbiz.de/10008790208