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Co-Integration Rank Testing under Conditional Heteroskedasticity · Study

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PreprintCo-Integration Rank Testing under Conditional Heteroskedasticity

Giuseppe Cavaliere2009

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Preprintgreen2009

Co-Integration Rank Testing under Conditional Heteroskedasticity

Giuseppe Cavaliere · Anders Rahbek · Robert Taylor

26 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 2000Sample Splitting and Threshold Estimation 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 1999Numerical distribution functions of likelihood ratio tests for cointegration 2004Bootstrapping autoregressions with conditional heteroskedasticity of unknown form 2000Testing for structural change in conditional models

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2010COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITYarticle · 19 shared references 2009Bootstrap M Unit Root Testsarticle · 10 shared references 2010Testing for co-integration in vector autoregressions with non-stationary volatilityarticle · 9 shared references 2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOTarticle · 8 shared references 2010Modelling Nonlinear Economic Time Seriesbook · 7 shared references 2015Inference on co-integration parameters in heteroskedastic vector autoregressionsarticle · 7 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations26

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1411046

openalex_workW2136396194

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