Common nonstationary components of asset prices

DOI10.1016/0165-1889(88)90045-0zbMath0644.90019OpenAlexW2057765943MaRDI QIDQ1102850

Peter Bossaerts

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90045-0

zbMATH Keywords

cointegrationapproximate collinearitymulti-period general equilibriumPortfolio separationtime-series canonical correlation analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)

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