Cointegration and Long-Horizon Forecasting

36 Pages Posted: 31 Oct 2008

See all articles by Peter Christoffersen

Peter Christoffersen

University of Toronto - Rotman School of Management; Copenhagen Business School; Aarhus University - CREATES

Francis X. Diebold

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

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Date Written: October 1997

Abstract

Statistics Working Papers Series

Suggested Citation

Christoffersen, Peter and Diebold, Francis X., Cointegration and Long-Horizon Forecasting (October 1997). NYU Working Paper No. SOR-98-8. Available at SSRN: https://ssrn.com/abstract=1290959

Peter Christoffersen (Contact Author)

University of Toronto - Rotman School of Management ( email )

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Francis X. Diebold

University of Pennsylvania - Department of Economics ( email )

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