Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization

✍ Scribed by Chang-Jin Kim; Charles R. Nelson

• Book ID: 117628313
• Publisher: Elsevier Science
• Year: 1998
• Tongue: English
• Weight: 123 KB
• Volume: 5
• Category: Article
• ISSN: 0927-5398
• DOI: 10.1016/s0927-5398(98)00006-1