Concepedia

Global risk spillover and the predictability of sovereign CDS spread: International evidence

Sasha Srivastava, Hai Lin, I. M. Premachandra, Helen Roberts

International Review of Economics & Finance · 2015 · 56 citations · 51 references

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Concepts

References

51

Co-Integration and Error Correction: Representation, Estimation, and Testing

Robert F. Engle, C. W. J. Granger · Econometrica · 1987 · 31.9K citations

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Distribution of the Estimators for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 23K citations · Full text

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Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Clive W. J. Granger · Econometrica · 1969 · 22.9K citations

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Testing for a unit root in time series regression

Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.9K citations

, , +16

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Econometrica · 1981 · 14.6K citations

, , +15