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dc.contributor.author
Fasen, Vicky
dc.date.accessioned
2017-06-10T09:20:51Z
dc.date.available
2017-06-10T09:20:51Z
dc.date.issued
2013-02
dc.identifier.issn
0304-4076
dc.identifier.issn
1872-6895
dc.identifier.issn
0165-7410
dc.identifier.other
10.1016/j.jeconom.2012.08.019
dc.identifier.uri
http://hdl.handle.net/20.500.11850/56083
dc.language.iso
en
dc.publisher
Elsevier
dc.subject
Asymptotic
dc.subject
Co-integration
dc.subject
Continuous-time process
dc.subject
Multivariate regular variation
dc.subject
Ornstein–Uhlenbeck process
dc.subject
Point estimation
dc.subject
Stable Lévy process
dc.subject
t-ratio statistic
dc.subject
Wald-statistic
dc.title
Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration
dc.type
Journal Article
ethz.journal.title
Journal of Econometrics
ethz.journal.volume
172
ethz.journal.issue
2
ethz.journal.abbreviated
J. econom.
ethz.pages.start
325
ethz.pages.end
337
ethz.notes
Available online 22 August 2012.
ethz.identifier.wos
ethz.identifier.nebis
000018095
ethz.publication.place
Amsterdam
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus)
ethz.date.deposited
2017-06-10T09:23:51Z
ethz.source
ECIT
ethz.identifier.importid
imp59364fcb5510099378
ethz.ecitpid
pub:90317
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-13T12:08:47Z
ethz.rosetta.lastUpdated
2019-01-02T05:41:12Z
ethz.rosetta.versionExported
true
ethz.COinS
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