obtained from a vector random coefficient moving average process, and derives the stationarity and invertibility conditions …

other episodes show prices anchoring back to dividends. This paper investigates the stationarity of this ratio in the …

stationarity and invertibility conditions. The derivation of DCC from a vector random coefficient moving average process raises …

feedback and as a consequence time varying skewness. However, presence of dynamic feedback effect violates the weak-stationarity … assumption usually considered for the latent volatility process. The concept of bounded stationarity has been proposed in this … paper to address the issue of non-stationarity. A characterization of the error distributions for returns and volatility is …

method of analysis was the cointegration analysis. The stationarity properties of all the variables of interest were checked …

-section dependence in the panel unit root tests. Using the panel stationarity test proposed by Carrion-I-Silvestre, Barrio-Castro and …

stationarity tests that allow for at most a deterministic trend under the null hypothesis. However, given the small sample sizes … available for most macroeconomic variables, standard Lagrange multiplier tests of stationarity will perform poorly when the data … are highly persistent. To address this problem, we propose the use of a likelihood ratio test of stationarity based …