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Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models · Study

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ArticleBootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

Giuseppe Cavaliere2012

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Articlegreen2012

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

Giuseppe Cavaliere · Anders Rahbek · Robert Taylor

37 citations·0/0 files stored·Econometric Reviews

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Diverse Scientific and Economic Studies

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References

1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 2004Bootstrapping autoregressions with conditional heteroskedasticity of unknown form 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS 2002GO‐GARCH: a multivariate generalized orthogonal GARCH model 2002A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model 2012Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models 2010Testing for co-integration in vector autoregressions with non-stationary volatility

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2015Inference on co-integration parameters in heteroskedastic vector autoregressions 2013Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets

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2015Inference on co-integration parameters in heteroskedastic vector autoregressionsarticle · 7 shared references 2016DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDERarticle · 7 shared references 2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITYarticle · 6 shared references 2010Modelling Nonlinear Economic Time Seriesbook · 5 shared references 2010Testing for co-integration in vector autoregressions with non-stationary volatilityarticle · 5 shared references 2013TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELSarticle · 5 shared references

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Year2012

Typearticle

Published2012-01-01

VenueEconometric Reviews

ISSN-L0747-4938

Languageen

Citations37

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1080/07474938.2013.825175

openalex_workW1514708911

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