Open AccessCointegration Test with Stationary Covariates and the CDS-Bond Basis during the Financial Crisis
Author(s) -
Jason Wu,
Aaron Game
Publication year - 2011
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2011.18
Subject(s) - cointegration , econometrics , covariate , unit root , credit default swap , augmented dickey–fuller test , economics , residual , null hypothesis , mathematics , unit root test , monte carlo method , statistics , credit risk , actuarial science , algorithm