Practical Volatility and Correlation Modeling for Financial Market Risk Management,
Torben Andersen, Tim Bollerslev, Peter Christoffersen and Francis Diebold,
from National Bureau of Economic Research, Inc
(2005)
New Simple Tests for Panel Cointegration,
Joakim Westerlund,
from Lund University, Department of Economics
(2005)
Keywords: Panel Cointegration; Residual-Based Tests; Cross-Sectional Dependence; Monte Carlo Simulation.
Pooled Unit Root Tests in Panels with a Common Factor,
Joakim Westerlund,
from Lund University, Department of Economics
(2005)
Keywords: Pooled Unit Root Tests; Panel Data; Common Factor; Cross-Sectional Dependence; Monte Carlo Simulation.
Panel Cointegration Tests of the Fisher Hypothesis,
Joakim Westerlund,
from Lund University, Department of Economics
(2005)
Keywords: Fisher Hypothesis; Residual-Based Panel Cointegration Test; Monte Carlo Simulation.
Testing for Error Correction in Panel Data,
Joakim Westerlund,
from Lund University, Department of Economics
(2005)
Keywords: Panel Cointegration Test; Monte Carlo Simulation; Common Factor Restriction; International Health Care Expenditures.
Testing for Panel Cointegration with Multiple Structural Breaks,
Joakim Westerlund,
from Lund University, Department of Economics
(2005)
Keywords: Panel Cointegration; Residual-Based Cointegration Test; Structural Break; Monte Carlo Simulation; Feldstein-Horioka Puzzle.