Garch effects on a test of cointegration
نویسندگان
چکیده
منابع مشابه
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This paper suggests a new nonparametric testing procedure for determining the rank of nonstationary multivariate cointegrated systems. The asymptotic properties of the procedure are determined and a Monte Carlo study is carried out.
متن کاملA Bootstrap Test of Cointegration Rank
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ژورنال
عنوان ژورنال: Review of Quantitative Finance and Accounting
سال: 1994
ISSN: 0924-865X,1573-7179
DOI: 10.1007/bf01082662