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Testing for a unit root in variables with a double change in the mean

✍ Scribed by Jesús Clemente; Antonio Montañés; Marcelo Reyes


Book ID
117333224
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
56 KB
Volume
59
Category
Article
ISSN
0165-1765

No coin nor oath required. For personal study only.


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Testing for a unit root in the volatilit
✍ Jonathan H. Wright 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 168 KB 👁 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