Unit root vector autoregression with volatility induced stationarity

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Originalsprog	Engelsk
Tidsskrift	Journal of Empirical Finance
Vol/bind	29
Nummer	December
Sider (fra-til)	144-167
ISSN	0927-5398
DOI	https://doi.org/10.1016/j.jempfin.2014.03.008
Status	Udgivet - 2014

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@article{b271579be0ee43f0b772ae838d8efb8a,

title = "Unit root vector autoregression with volatility induced stationarity",

author = "Nielsen, {Heino Bohn} and Anders Rahb{\ae}k",

year = "2014",

doi = "10.1016/j.jempfin.2014.03.008",

language = "English",

volume = "29",

pages = "144--167",

journal = "Journal of Empirical Finance",

issn = "0927-5398",

publisher = "Elsevier BV",

number = "December",

}

TY - JOUR

T1 - Unit root vector autoregression with volatility induced stationarity

AU - Nielsen, Heino Bohn

AU - Rahbæk, Anders

PY - 2014

Y1 - 2014

U2 - 10.1016/j.jempfin.2014.03.008

DO - 10.1016/j.jempfin.2014.03.008

M3 - Journal article

SN - 0927-5398

VL - 29

SP - 144

EP - 167

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

IS - December

ER -