Standard Errors for the Long-Run Variance Matrix
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 13 (1997)
Issue (Month): 02 (April)
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- Søren Johansen, 2007. "Some Identification Problems in the Cointegrated Vector Autoregressive Model," Discussion Papers 07-24, University of Copenhagen. Department of Economics.
- Joachim Grammig & Michael Melvin & Christian Schlag, 2005.
"Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects,"
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78, Department of Finance, Goethe University Frankfurt am Main.
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