Testing for reducing to random walk in autogressive conditional heteroskedasticity models
Year of publication: |
2002
|
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Authors: | Klüppelberg, Claudia ; Maller, Ross A. ; Vyver, Mark van de ; Wee, Derick |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 5.2002, 2, p. 387-416
|
Subject: | ARCH-Modell | ARCH model | Einheitswurzeltest | Unit root test | Random Walk | Random walk |
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