Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density
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Publication:1852901
DOI10.1016/S0165-1765(02)00123-4zbMath1027.91036OpenAlexW1504369108MaRDI QIDQ1852901
Publication date: 21 January 2003
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00123-4
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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Cites Work
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- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Testing for covariance stationarity in stock market data
- A Wavelet-Based Test for Stationarity
- The Cusum Test with Ols Residuals
- Time-Dependent Spectral Analysis of Nonstationary Time Series
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