Common nonstationary components of asset prices
DOI10.1016/0165-1889(88)90045-0zbMATH Open0644.90019OpenAlexW2057765943MaRDI QIDQ1102850FDOQ1102850
Authors: Peter Bossaerts 
Publication date: 1988
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1889(88)90045-0
Recommendations
cointegrationapproximate collinearitymulti-period general equilibriumPortfolio separationtime-series canonical correlation analysis
Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)
Cites Work
- A canonical analysis of multiple time series
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Convergence of stochastic processes
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Title not available (Why is that?)
- Time Series Regression with a Unit Root
- An Intertemporal Capital Asset Pricing Model
- A functional central limit theorem for weakly dependent sequences of random variables
- Testing for Common Trends
- Asset Prices in an Exchange Economy
Cited In (8)
- Cointegration and long-run asset allocation
- On alternative state space representations of time series models
- System estimators of cointegrating matrix in absence of normalising information
- Comparison of Box-Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models
- Modelling the lead-lag effect between dual-class shares
- Generalized method of moments estimation for cointegrated vector autoregressive models
- Five alternative methods of estimating long-run equilibrium relationships
- Canonical dependency analysis based on squared-loss mutual information
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