Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
| Year of publication: |
2021
|
|---|---|
| Authors: | Balboa, Marina ; Rodrigues, Paulo M. M. ; Rubia, Antonio ; Taylor, A. M. Robert |
| Published in: |
Journal of Applied Econometrics. - Wiley, ISSN 1099-1255, ZDB-ID 1500458-2. - Vol. 36.2021, 5 (11.07.), p. 544-565
|
| Publisher: |
Wiley |
| Type of publication: | Article |
|---|---|
| Language: | English |
| Research data: | |
| Other identifiers: | 10.1002/jae.2829 [DOI] |
| Source: | Other ZBW resources |
Persistent link: https://www.econbiz.de/10012632810