Unit root testing with unstable volatility
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Publication:4556512
DOI10.1111/JTSA.12279zbMATH Open1402.62186OpenAlexW1518151746MaRDI QIDQ4556512FDOQ4556512
Authors: Brendan K. Beare 
Publication date: 16 November 2018
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://www.nuff.ox.ac.uk/economics/papers/2008/w6/unitroot.pdf
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Cited In (13)
- Testing for an unstable root in conditional and structural error correction models
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
- Forward detrending for heteroskedasticity-robust panel unit root testing
- Testing for unit roots in time series models with non-stationary volatility
- Nonstationary-volatility robust panel unit root tests and the great moderation
- Unit root testing with slowly varying trends
- Artifactual unit root behavior of value at risk (VaR)
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- Adaptive Testing for Cointegration With Nonstationary Volatility
- Cointegration in high frequency data
- Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
- SIGN-BASED UNIT ROOT TESTS FOR EXPLOSIVE FINANCIAL BUBBLES IN THE PRESENCE OF DETERMINISTICALLY TIME-VARYING VOLATILITY
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