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Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
Balboa, Marina, (2021)
On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates
Rodrigues, Paulo M. M., (2004)
The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance*
Rodrigues, Paulo M. M., (2011)