On the power and size properties of cointegration tests in the light of high-frequency stylized facts

Journal article


Publication Details

Author(s): Krauß C, Herrmann K
Journal: Journal of Financial Risk Management
Publication year: 2017
Volume: 10
Journal issue: 1
ISSN: 2167-9533
eISSN: 2167-9541


FAU Authors / FAU Editors

Krauß, Christopher
Lehrstuhl für Statistik und Ökonometrie


How to cite

APA:
Krauß, C., & Herrmann, K. (2017). On the power and size properties of cointegration tests in the light of high-frequency stylized facts. Journal of Financial Risk Management, 10(1).

MLA:
Krauß, Christopher, and Klaus Herrmann. "On the power and size properties of cointegration tests in the light of high-frequency stylized facts." Journal of Financial Risk Management 10.1 (2017).

BibTeX: 

Last updated on 2018-05-12 at 15:53