Testing for no-cointegration under time-varying variance
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Publication:2315402
DOI10.1016/J.ECONLET.2019.06.001zbMath1421.62146OpenAlexW2948528870WikidataQ127757515 ScholiaQ127757515MaRDI QIDQ2315402
Shaoping Wang, Yanglin Li, Qing Zhao
Publication date: 5 August 2019
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2019.06.001
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40)
Cites Work
- Testing for unit roots in time series models with non-stationary volatility
- Forecasting and testing in co-integrated systems
- Asymmetric volatility in cryptocurrencies
- Asymptotic Properties of Residual Based Tests for Cointegration
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Time Series Regression with a Unit Root
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Residuals‐based tests for cointegration with generalized least‐squares detrended data
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