Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - Økonomisk Institut, Københavns Universitet - 2008
covariation of the underlying multivariate volatility process which impacts on both the size and power of the associated co-integration …. 08-34
Testing for Co-integration in Vector Autoregressions
with Non-Stationary Volatility
Giuseppe … Cavaliere, Anders Rahbek,
and A. M. Robert Taylor
Testing for Co-integration in Vector …