Søren Johansen

Søren Johansen

Professor, emeritus

ORCID: 0000-0002-9285-8236

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  1. Published

    The cointegrated vector autoregressive model with general deterministic terms

    Johansen, Søren & Nielsen, M. Ø., 2016, 28 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 16-07).

    Research output: Working paper › Research

  2. Published

    The interpretation of cointegrating coefficients in the cointegrated vector autoregressive model

    Johansen, Søren, 2005, In: Oxford Bulletin of Economics and Statistics. 67, 1, p. 93-104

    Research output: Contribution to journal › Journal article › Research › peer-review

  3. Published

    The interpretation of cointegrating coefficients in the cointegrated vector autoregressive model

    Johansen, Søren, 2002, Københavns Universitet, p. 1-11.

    Research output: Working paper › Research

  4. Published

    The role of cointegration for optimal hedging with heteroscedastic error term

    Gatarek, L. & Johansen, Søren, 2017, 18 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-03).

    Research output: Working paper › Research

  5. Published

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

    Johansen, Søren & Nielsen, B., 2016, 21 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 16-05).

    Research output: Working paper › Research

  6. Published

    Time Series: Cointegration

    Johansen, Søren, 2015, International Encyclopedia of the Social & Behavioral Sciences. Wright, J. D. (ed.). Oxford: Elsevier, Vol. 24. p. 322-330 9 p.

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Communication

  7. Published

    Times Series: Cointegration

    Johansen, Søren, 2015, International Encyclopedia of the Social & Behavioral Sciences. Wright, J. D. (ed.). 2 ed. Oxford: Elsevier, Vol. 24. p. 322--330 9 p.

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Communication

  8. Published

    Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

    Berenguer-Rico, V., Johansen, Søren & Nielsen, B., 18 Jun 2019, 22 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-09).

    Research output: Working paper › Research

  9. Published

    WEAK CONVERGENCE TO DERIVATIVES OF FRACTIONAL BROWNIAN MOTION

    Johansen, Søren & Nielsen, M. Ø., 2024, In: Econometric Theory. p. 1-16

    Research output: Contribution to journal › Journal article › Research › peer-review

  10. Published

    Workbook on Cointegration

    Johansen, Søren & Hansen, P. R., 1998, Oxford University Press. 176 p.

    Research output: Book/Report › Book › Research › peer-review

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