In this paper, we propose a unit root test for functional time series. We derive a new analytical framework for nonstationary functional time series. Specifically, for the proposed test statistic, we derive its limit distribution under the null hypothesis of a random walk and its asymptotic...

This paper studies the optimal central bank intervention of interest rate problem, where the interest rate process is modelled by an Ornstein—Uhlenbeck (mean-reverting) process with a slowly varying stochastic volatility. The objective of the central bank is to maintain the interest rate close...

In this study, we examine bootstrap methods to construct a generalized KPSS test for functional time series. Bootstrap-based functional testing provides an intuitive and efficient estimation of the distribution of the generalized KPSS test statistic and is capable of achieving non-trivial powers...