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ArticleCointegration tests with conditional heteroskedasticity

Tae‐Hwy Lee1996

Article1996

Cointegration tests with conditional heteroskedasticity

Tae‐Hwy Lee · Yiuman Tse

130 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Diverse Scientific and Economic Studies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1988Statistical analysis of cointegration vectors 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1987Expected stock returns and volatility

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2001Asset storability and price discovery in commodity futures markets: A new look 2010An emerging equilibrium in the EU emissions trading scheme 2014On the economic determinants of the gold–inflation relation 2017Cointegration and price discovery in US corn cash and futures markets 2009International stock market linkages: Evidence from Latin America

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Year1996

Typearticle

Published1996-08-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations130

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0304-4076(95)01745-3

openalex_workW2019399779

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2003

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2005The Emerging Market Crisis and Stock Market Linkages: Further Evidence

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