Adaptive testing for cointegration with nonstationary volatility
H. Peter Boswijk and Yang Zu
| Year of publication: |
2022
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|---|---|
| Authors: | Boswijk, Herman Peter ; Zu, Yang |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 2, p. 744-755
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| Subject: | Adaptive estimation | Nonparametric volatility estimation | Wild bootstrap | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Description of contents: | Description [tandfonline.com] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2020.1867558 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013534484