Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
Year of publication: |
2019
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Authors: | Cavaliere, Giuseppe ; Skrobotov, Anton ; Taylor, Robert |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 38.2019, 5, p. 509-532
|
Subject: | (periodic) nonstationary volatility | Conditional heteroscedasticity | seasonal unit roots | wild bootstrap | Einheitswurzeltest | Unit root test | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Bootstrap-Verfahren | Bootstrap approach | Theorie | Theory | Saisonale Schwankungen | Seasonal variations | Heteroskedastizität | Heteroscedasticity | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process |
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