The robustness of modified unit root tests in the presence of GARCH
Year of publication: |
2006
|
---|---|
Authors: | Cook, Steven |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 6.2006, 4, p. 359-363
|
Publisher: |
Taylor & Francis Journals |
Subject: | GARCH | Unit root tests | Size distortion |
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