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 analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … parametric analog at high frequency for it, allowing simultaneously for microstructure effects, jumps, missing observations and … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

mutual information is estimated using the correlation integral from chaos theory. The signi[tanceof the test statistics is …

-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 …