The impact of GARCH on asymmetric unit root tests
Year of publication: |
2006
|
---|---|
Authors: | Cook, Steven |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 369.2006, 2, p. 745-752
|
Publisher: |
Elsevier |
Subject: | GARCH | Unit root tests | Asymmetry | Consistent-threshold estimation | Size distortion |
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