Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions
Copyright policy )Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions
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- University of Copenhagen Denmark
- University of Copenhagen Denmark
- University of Essex United Kingdom
- University of Amsterdam Netherlands
- Alma Mater Studiorum University of Bologna Italy
HB Economic Theory, Applications of statistics to actuarial sciences and financial mathematics, wild bootstrap, 330, (un)conditional heteroskedasticity, ddc:330, adjustment coefficients, heteroskedasticity-robust inference, Co-integration, Co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap, Faculty of Social Sciences, co-integration, Time series, auto-correlation, regression, etc. in statistics (GARCH), C30, /dk/atira/pure/core/keywords/FacultyOfSocialSciences, C32, (un)Conditional heteroskedasticity; Adjustment coefficients; Co-integration; Heteroskedasticity-robust inference; Wild bootstrap, jel: jel:C30, jel: jel:C32
HB Economic Theory, Applications of statistics to actuarial sciences and financial mathematics, wild bootstrap, 330, (un)conditional heteroskedasticity, ddc:330, adjustment coefficients, heteroskedasticity-robust inference, Co-integration, Co-integration, adjustment coefficients, (un)conditional heteroskedasticity, heteroskedasticity-robust inference, wild bootstrap, Faculty of Social Sciences, co-integration, Time series, auto-correlation, regression, etc. in statistics (GARCH), C30, /dk/atira/pure/core/keywords/FacultyOfSocialSciences, C32, (un)Conditional heteroskedasticity; Adjustment coefficients; Co-integration; Heteroskedasticity-robust inference; Wild bootstrap, jel: jel:C30, jel: jel:C32
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