Spurious regressions driven by excessive volatility
Year of publication: |
2011
|
---|---|
Authors: | Kim, Chang Sik ; Lee, Sungro |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 113.2011, 3, p. 292-297
|
Publisher: |
Elsevier |
Subject: | Stochastic volatility | Persistency in volatility | Near-unit root | Spurious regression |
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