Søren Johansen

Søren Johansen

Professor emeritus


  1. 2017
  2. Udgivet

    Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles

    Franchi, M. & Johansen, Søren, 2017, 19 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-09).

    Publikation: Working paperForskning

  3. Udgivet

    Testing the CVAR in the fractional CVAR model

    Johansen, Søren & Nielsen, M. Ø., 2017, 13 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-23).

    Publikation: Working paperForskning

  4. Udgivet

    The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

    Frydman, R., Johansen, Søren, Rahbek, Anders & Tabor, M. N., 2017, 38 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-10). (Institute for New Economic Thinking Working Paper Series; Nr. 59).

    Publikation: Working paperForskning

  5. Udgivet

    The role of cointegration for optimal hedging with heteroscedastic error term

    Gatarek, L. & Johansen, Søren, 2017, 18 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-03).

    Publikation: Working paperForskning

  6. 2016
  7. Udgivet

    Rejoinder: Asymptotic theory of outlier detection algorithms for linear time series regression models

    Johansen, Søren & Nielsen, B., 15 jun. 2016, I : Scandinavian Journal of Statistics. 43, 2, s. 374-381 8 s.

    Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

  8. Udgivet

    Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models

    Johansen, Søren & Nielsen, B., jun. 2016, I : Scandinavian Journal of Statistics. 43, 2, s. 321-348 28 s.

    Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

  9. Udgivet

    Analysis of the Forward Search using some new results for martingales and empirical processes

    Johansen, Søren & Nielsen, B., 2016, I : Bernoulli. 22, 2, s. 1131-1183 53 s.

    Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

  10. Udgivet

    The cointegrated vector autoregressive model with general deterministic terms

    Johansen, Søren & Nielsen, M. Ø., 2016, 28 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 16-07).

    Publikation: Working paperForskning

  11. Udgivet

    Tightness of M-estimators for multiple linear regression in time for multiple linear regression in time series

    Johansen, Søren & Nielsen, B., 2016, 21 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 16-05).

    Publikation: Working paperForskning

  12. 2015
  13. Udgivet

    THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS

    Johansen, Søren & Nielsen, M. Ø., 11 maj 2015, I : Econometric Theory. 32, s. 1095-1139 45 s.

    Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

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