Demetrescu, Matei; Sibbertsen, Philipp - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2014
Many time series exhibit unconditional heteroskedasticity, often in addition to conditional one. But such time-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root and stationarity tests possess null distributions...