Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility

DOI10.1111/j.1467-9892.2007.00557.xzbMath1165.62064OpenAlexW2055337627MaRDI QIDQ3608199

Giuseppe Cavaliere, A. M. Robert Taylor

Publication date: 28 February 2009

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00557.x

zbMATH Keywords

variance profilemodels with non-stationary volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03)

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