. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based …

-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and … model for volatility, or to assume that the pattern of volatility is common to, or independent across, the vector of series …

This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to … resulting likelihood ratio test statistic. We find that under suitable conditions, adaptation with respect to the volatility … process is possible, in the sense that nonparametric volatility matrix estimation does not lead to a loss of asymptotic local …

| when the volatility of the innovations is random and possibly non-stationary? In fact, the volatility of many economic and … validity of the bootstrap when the volatility is driven by a non-stationary stochastic process. This includes near …-integrated exogenous volatility processes as well as near-integrated GARCH processes, where the conditional variance has a diffusion limit …