Boswijk, Herman Peter; Cavaliere, Giuseppe; Georgiev, Iliyan - 2019
volatility process. We apply our results to several testing problems in the presence of non-stationary stochastic volatility … literature by developing conditions for bootstrap validity in time series and regression models with non-stationary, stochastic … volatility. We show that in such cases the distribution of bootstrap statistics (conditional on the data) is random in the limit …