Testing for a slowly changing level with special reference to stochastic volatility

Journal of Econometrics

Volumn 87, Issue 1, 1998, Pages 167-189

  Harvey, Andrew ^a   Streibel, Mariane ^b  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF SÃO PAULO   (Brazil)

Author keywords

Cram r von Mises distribution; Exchange rates; GARCH model; Locally best invariant test; Serial correlation; Unobserved components

Indexed keywords

EID: 0347483269     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(98)00012-8     Document Type: Article

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