Pitfalls in VAR based return decompositions: A clarification

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@article{3625c340d91b4ae8ab8f7ad0d11eecf0,

title = "Pitfalls in VAR based return decompositions: A clarification",

author = "Tom Engsted and Pedersen, {Thomas Quistgaard} and Carsten Tanggaard",

year = "2012",

doi = "10.1016/j.jbankfin.2011.11.004",

language = "English",

volume = "36",

pages = "1255–1265",

journal = "Journal of Banking & Finance",

issn = "0378-4266",

publisher = "Elsevier BV",

number = "5",

}

TY - JOUR

T1 - Pitfalls in VAR based return decompositions: A clarification

AU - Engsted, Tom

AU - Pedersen, Thomas Quistgaard

AU - Tanggaard, Carsten

PY - 2012

Y1 - 2012

U2 - 10.1016/j.jbankfin.2011.11.004

DO - 10.1016/j.jbankfin.2011.11.004

M3 - Journal article

SN - 0378-4266

VL - 36

SP - 1255

EP - 1265

JO - Journal of Banking & Finance

JF - Journal of Banking & Finance

IS - 5

ER -