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Testing for a unit root in the presence of stochastic volatility and leverage effect

✍ Scribed by Yong Li; Terence Tai-Leung Chong; Jie Zhang


Book ID
116424498
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
173 KB
Volume
29
Category
Article
ISSN
0264-9993

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Testing for a unit root in the volatilit
✍ 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