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Oxford bulletin of economics and statistics
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A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models
Cavaliere, Giuseppe
;
De Angelis, Luca
;
Rahbek, Anders
; …
- In:
Oxford bulletin of economics and statistics
77
(
2015
)
1
,
pp. 106-128
Persistent link: https://www.econbiz.de/10011373619
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2
Similarity Issues in Cointegration Analysis
Nielsen, Bent
;
Rahbek, Anders
- In:
Oxford bulletin of economics and statistics
62
(
2000
)
1
,
pp. 5-22
Persistent link: https://www.econbiz.de/10006454595
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3
Similarity issues in cointegration analysis
Nielsen, Bent
;
Rahbek, Anders
- In:
Oxford bulletin of economics and statistics
62
(
2000
)
1
,
pp. 5-22
Persistent link: https://www.econbiz.de/10001481785
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4
The ACR Model: A Multivariate Dynamic Mixture Autoregression
Bec, Frédérique
;
Rahbek, Anders
;
Shephard, Neil
- In:
Oxford bulletin of economics and statistics
70
(
2008
)
5
,
pp. 583-618
Persistent link: https://www.econbiz.de/10008103830
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5
The ACR model : a multivariate dynamic mixture autoregression
Bec, Frédérique
;
Rahbek, Anders
;
Shephard, Neil G.
- In:
Oxford bulletin of economics and statistics
70
(
2008
)
5
,
pp. 583-618
Persistent link: https://www.econbiz.de/10003759114
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6
Testing for a change in persistence in the presence of a volatility shift
Cavaliere, Giuseppe
;
Taylor, Robert
- In:
Oxford bulletin of economics and statistics
68
(
2006
),
pp. 761-781
Persistent link: https://www.econbiz.de/10003393459
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7
Bootstrap co-integration rank testing : the effect of bias-correcting parameter estimates
Cavaliere, Giuseppe
;
Taylor, Robert
;
Trenkler, Carsten
- In:
Oxford bulletin of economics and statistics
77
(
2015
)
5
,
pp. 740-759
Persistent link: https://www.econbiz.de/10011383823
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8
Co-integration rank determination in partial systems using information criteria
Cavaliere, Giuseppe
;
De Angelis, Luca
;
Fanelli, Luca
- In:
Oxford bulletin of economics and statistics
80
(
2018
)
1
,
pp. 65-89
Persistent link: https://www.econbiz.de/10011969541
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