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isPartOf:"Discussion paper"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~isPartOf:"Econometric theory"
~person:"Taylor, Robert"
~subject:"Nonparametric statistics"
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Volatility
Nonparametric statistics
Estimation theory
8
Schätztheorie
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Einheitswurzeltest
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Heteroscedasticity
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conditional heteroskedasticity
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Taylor, Robert
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Discussion paper
CREATES research paper
Econometric theory
Queen's Economics Department working paper
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
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2
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
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3
Testing for unit roots in the presence of a possible break in trend and nonstationary volatility
Cavaliere, Giuseppe
;
Harvey, David I.
;
Leybourne, …
- In:
Econometric theory
27
(
2011
)
5
,
pp. 957-991
Persistent link: https://www.econbiz.de/10009379762
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