Unit Root Vector Autoregression with Volatility induced Stationarity

Research output: Contribution to journal › Journal article › Research › peer-review

21 Citations (Scopus)

Original language	English
Journal	Journal of Empirical Finance
Volume	29
Pages (from-to)	144-167
ISSN	0927-5398
DOIs	https://doi.org/10.1016/j.jempfin.2014.03.008
Publication status	Published - Dec 2014

JEL classification: C32

Access to Document

@article{c9c8c2e58c7e418fa909065aa2d31657,

title = "Unit Root Vector Autoregression with Volatility induced Stationarity",

author = "Nielsen, {Heino Bohn} and Anders Rahbek",

note = "JEL classification: C32",

year = "2014",

month = dec,

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",

}

TY - JOUR

T1 - Unit Root Vector Autoregression with Volatility induced Stationarity

AU - Nielsen, Heino Bohn

AU - Rahbek, Anders

N1 - JEL classification: C32

PY - 2014/12

Y1 - 2014/12

U2 - 10.1016/j.jempfin.2014.03.008

DO - 10.1016/j.jempfin.2014.03.008

M3 - Journal article

VL - 29

SP - 144

EP - 167

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

SN - 0927-5398

ER -