Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
Giuseppe Cavaliere, Anton Skrobotov, and A.M. Robert Taylor
| Year of publication: |
2019
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|---|---|
| Authors: | Cavaliere, Giuseppe ; Skrobotov, Anton ; Taylor, Robert |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 38.2019, 5, p. 509-532
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| Subject: | (periodic) nonstationary volatility | Conditional heteroscedasticity | seasonal unit roots | wild bootstrap | Einheitswurzeltest | Unit root test | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Bootstrap-Verfahren | Bootstrap approach | Theorie | Theory | Saisonale Schwankungen | Seasonal variations | Heteroskedastizität | Heteroscedasticity | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2017.1348684 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012181330