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Discussion: The effect of seasonal adjustment filters on tests for a unit root

✍ Scribed by Francis X. Diebold

Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
381 KB
Volume
55
Category
Article
ISSN
0304-4076

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πŸ“œ SIMILAR VOLUMES

Testing for a unit root in the volatilit
Testing for a unit root in the volatility of asset returns
✍ Jonathan H. Wright πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 168 KB πŸ‘ 2 views

It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic volatility model. The researcher may test for non-stationarity of the volatility process by testing for a un