Adaptive Testing for Cointegration With Nonstationary Volatility
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Cites work
- A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
- Adaptive estimation of autoregressive models with time-varying variances
- Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
- Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
- All of Nonparametric Statistics
- Asymptotic distribution of the cointegrating vector estimator in error correction models with conditional heteroskedasticity
- Asymptotic filtering theory for multivariate ARCH models
- Asymptotic inference for unit root processes with GARCH(1,1) errors
- Asymptotic Statistics
- Bootstrap determination of the co-integration rank in heteroskedastic VAR models
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Bootstrapping general empirical measures
- Determining the cointegration rank in heteroskedastic VAR models of unknown order
- Distribution theory for unit root tests with conditional heteroskedasticity
- Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity
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- scientific article; zbMATH DE number 192992 (Why is no real title available?)
- Inference in Autoregression under Heteroskedasticity
- Inference on co-integration parameters in heteroskedastic vector autoregressions
- Joint modeling of cointegration and conditional heteroscedasticity with applications
- Likelihood Analysis of the I(2) Model
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
- Modeling and Forecasting Realized Volatility
- Regression with Nonstationary Volatility
- Structural changes in the cointegrated vector autoregressive model
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Testing for unit roots in time series models with non-stationary volatility
- Unit root testing with unstable volatility
- Unit Root Tests under Time-Varying Variances
- Unit root tests with a break in innovation variance.
- Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
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