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The limiting distribution of the t-ratio for the unit root test in an AR(1)

โœ Scribed by Franz K. Dietrich


Book ID
108513033
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
102 KB
Volume
4
Category
Article
ISSN
1368-4221

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๐Ÿ“œ SIMILAR VOLUMES


Testing for a unit root in the volatilit
โœ Jonathan H. Wright ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 168 KB ๐Ÿ‘ 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