The robustness of modified unit root tests in the presence of GARCH

Quantitative Finance

Volumn 6, Issue 4, 2006, Pages 359-363

  Cook, Steven ^a  

^a SWANSEA UNIVERSITY   (United Kingdom)

Author keywords

GARCH; Size distortion; Unit root tests

Indexed keywords

EID: 33747595786     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680600702045     Document Type: Article

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