volatility clustering, as is typically the case for financial time series such as exchange rate returns. Our claim builds on … methods will yield power gains in the presence of fat tails and persistent volatility clustering, and the strength of these …

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …

nonstationary volatility. In the same article, Xu proposed a set of t-tests for the regression coefficients and claimed that these … only under the exact knowledge of the asymptotic order of the nonstationary volatility. In this paper it is first shown … obtained, that do not depend either on the asymptotic order of the nonstationary volatility, or on the degree of the polynomial …