Showing 1 - 2 of 2
, stochastic volatility coupled with fat tails, GARCH and mixture of innovation models. The comparison is based on the accuracy of …
Persistent link: https://www.econbiz.de/10010787777
This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined.
Persistent link: https://www.econbiz.de/10010860412