✦ LIBER ✦

Fractional cointegration and tests of present value models

✍ Scribed by Guglielmo Maria Caporale; Luis A. Gil-Alana

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Cointegration tests of present value mod

✍ Allan Timmermann 📂 Article 📅 1995 🏛 John Wiley and Sons 🌐 English ⚖ 1021 KB

A model of fractional cointegration, and

✍ James Davidson 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 228 KB

NUMERICAL DISTRIBUTION FUNCTIONS OF FRAC

✍ James G. MacKinnon; Morten Ørregaard Nielsen 📂 Article 📅 2012 🏛 John Wiley and Sons 🌐 English ⚖ 560 KB

Residual-Based Tests For Fractional Coin

✍ Ingolf Dittmann 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 398 KB

Testing of Fractional Cointegration in M

✍ Luis A. Gil-Alana 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 108 KB

Present value model, heteroscedasticity

✍ Jack Strauss; Taner Yigit 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 33 KB