Time-transformed unit root tests for models with non-stationary volatility

Journal of Time Series Analysis

Volumn 29, Issue 2, 2008, Pages 300-330

  Cavaliere, Giuseppe ^a   Robert Taylor, A M ^b  

^a UNIVERSITY OF BOLOGNA   (Italy)

^b UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

Non stationary volatility; Time transformed data; Unit root tests; Variance profile

Indexed keywords

EID: 39749196687     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2007.00557.x     Document Type: Article

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