LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices

DOI10.1093/ECTJ/UTAA011MaRDI QIDQ5083249OpenAlexFDO

Authors Tim Ginker, Offer Lieberman

Publication date 22 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/ectj/utaa011

zbMATH Keywords

autoregressionspurious regressionstochastic unit roottime-varying coefficients

Mathematics Subject Classification ID

Statistics (62-XX)

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