Department of Economics and Business Economics

Pitfalls in VAR based return decompositions: A clarification

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Pitfalls in VAR based return decompositions: A clarification. / Engsted, Tom; Pedersen, Thomas Quistgaard; Tanggaard, Carsten.

In: Journal of Banking & Finance, Vol. 36, No. 5, 2012, p. 1255–1265.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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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",

}

RIS

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

VL - 36

SP - 1255

EP - 1265

JO - Journal of Banking & Finance

JF - Journal of Banking & Finance

SN - 0378-4266

IS - 5

ER -