Fractional cointegration: Monte Carlo estimates of critical values, with an application

ISSN： 1466-4305

Source： Applied Financial Economics, Vol.12, Iss.5, 2002-05, pp. : 331-335

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

The effect of spillover on the Johansen tests for cointegration: a Monte Carlo analysis

By Mantalos Panagiotis

International Journal of Computational Economics and Econometrics, Vol. 1, Iss. 3-4, 2010-01 ,pp. : 327-342

Inderscience Publishers

Access to resources Recommend Favorite

Monte Carlo tests of cointegration in a bivariate normal common factor system

By Ostermark Ralf

Applied Financial Economics, Vol. 10, Iss. 1, 2000-02 ,pp. : 81-93

Routledge Ltd

Access to resources Recommend Favorite

Fractional cointegration tests with GARCH

By Tse Yiuman

Applied Financial Economics, Vol. 8, Iss. 4, 1998-08 ,pp. : 329-332

Routledge Ltd

Access to resources Recommend Favorite

Fractional cointegration of voting and non-voting shares

By Dittmann Ingolf

Applied Financial Economics, Vol. 11, Iss. 3, 2001-06 ,pp. : 321-332

Routledge Ltd

Access to resources Recommend Favorite

A fractional cointegration test of purchasing power parity: the case of selected members of OPEC

By Soofi Abdol S.

Applied Financial Economics, Vol. 8, Iss. 6, 1998-12 ,pp. : 559-566

Routledge Ltd

Access to resources Recommend Favorite