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Statistical analysis of cointegration vectors

198816,670 citationsJournal Article

Authors

Søren Johansen · University of Copenhagen

Topics & Keywords

Monetary Policy and Economic Impact Market Dynamics and Volatility Financial Risk and Volatility Modeling

Publication Details

Published in: Journal of Economic Dynamics and Control

Volume 12, Issue 2-3, pp. 231-254

DOI: 10.1016/0165-1889(88)90041-3

Field-Weighted Citation Impact: 87.60

Statistical analysis of cointegration vectors | Researchclopedia