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Testing for a unit root with nonstationary nonlinear heteroskedasticity
Tu, Yundong; Chan, Nigel; Wang, Qiying - In: Econometric reviews 39 (2020) 9, pp. 904-929
Persistent link: https://www.econbiz.de/10012295588
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Volatility spillover in foreign exchange markets
Rajhans, Rajni Kant; Jain, Anuradha - In: Paradigm : the journal of Institute of Management Technology 19 (2015) 2, pp. 137-151
Persistent link: https://www.econbiz.de/10011761392
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US dollar real exchange rates : nonlinearity revisited
Sollis, Robert - In: Journal of international money and finance 27 (2008) 4, pp. 516-528
Persistent link: https://www.econbiz.de/10003717294
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Simulation-based approaches in financial econometrics
Sjölander, Pär - 2007
Persistent link: https://www.econbiz.de/10003738168
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On the oversizing problem of Dickey-Fuller-type test with GARCH errors
Su, Jen-je - 2007
Persistent link: https://www.econbiz.de/10003493074
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Using panel data to construct simple and efficient unit root tests in the presence of GARCH
Westerlund, Joakim; Narayan, Paresh Kumar - 2009
Persistent link: https://www.econbiz.de/10003876019
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Testing for weak-form efficiency of crude palm oil spot and future markets : new evidence from a GARCH unit root test with multiple structural breaks
Hooi Hooi Lean; Smyth, Russell - In: Applied economics 47 (2015) 16/18, pp. 1710-1721
Persistent link: https://www.econbiz.de/10010511983
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Linear and non-linear unit root testing in the presence of heavy-tailed GARCH : a finite-sample simulation analysis
Cook, Steve - In: International journal of computational economics and … 2 (2012) 3/4, pp. 179-196
Persistent link: https://www.econbiz.de/10009756392
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Is monthly US natural gas consumption stationary? : new evidence from a GARCH unit root test with structural breaks
Mishra, Vinod; Smyth, Russell - 2014
Persistent link: https://www.econbiz.de/10010246088
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Heterocedasticity robust panel unit root tests
Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 112-135
Persistent link: https://www.econbiz.de/10010380473