Testing for a change in persistence in the presence of non-stationary volatility

Journal of Econometrics

Volumn 147, Issue 1, 2008, Pages 84-98

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

^a UNIVERSITY OF BOLOGNA   (Italy)

^b UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

Non stationary volatility; Persistence change; Wild bootstrap

Indexed keywords

TIME SERIES ANALYSIS;

CHANGE PROCESSES; FINITE SAMPLES; INFERENCE PROBLEMS; INNOVATION PROCESSES; LINEAR TIMES; MONTE CARLO; NON-STATIONARY VOLATILITY; NULL DISTRIBUTIONS; NUMERICAL EVIDENCES; OBSERVED SAMPLES; PERSISTENCE CHANGE; PRICE INFLATIONS; STATIONARITY; WILD BOOTSTRAP; WILD BOOTSTRAPS;

TESTING;

EID: 55349113903     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.09.004     Document Type: Article

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