A nonparametric unit root test under nonstationary volatility
Burak Alparslan Eroğlu, Taner Yiğit
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Eroğlu, Burak Alparslan ; Yigit, Taner M. |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 140.2016, p. 6-10
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| Subject: | Nonstationary volatility | Fractionally integrated time series | Variance ratio statistic | Unit root testing | Einheitswurzeltest | Unit root test | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2016.01.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011615687