Adaptive testing for cointegration with nonstationary volatility
Year of publication: |
2022
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Authors: | Boswijk, Herman Peter ; Zu, Yang |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 2, p. 744-755
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Subject: | Adaptive estimation | Nonparametric volatility estimation | Wild bootstrap | Volatilität | Volatility | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics |
Description of contents: | Description [tandfonline.com] |
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Adaptive testing for cointegration with nonstationary volatility
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Testing cointegration relationship in a semiparametric varying coefficient model
Gu, Jingping, (2014)
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Adaptive Testing for Cointegration with Nonstationary Volatility
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