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A local unit root test in mean for financial time series

  • Published:2015-04-27 Issue:4 Volume:86 Page:788-806
  • ISSN:0094-9655
  • Container-title:Journal of Statistical Computation and Simulation
  • language:en
  • Short-container-title:Journal of Statistical Computation and Simulation

Author:

Chen Cathy W.S.,Lee Sangyeol

Funder

The Ministry of Science and Technology, Taiwan

the National Research Foundation of Korea

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The e-value: a fully Bayesian significance measure for precise statistical hypotheses and its research program;São Paulo Journal of Mathematical Sciences;2020-06-05

2. An efficiency Bayesian unit root test in Unobserved-ARCH models;Communications in Statistics - Simulation and Computation;2017-02-03

3. Bayesian causality test for integer-valued time series models with applications to climate and crime data;Journal of the Royal Statistical Society: Series C (Applied Statistics);2016-12-08

4. Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach;Computational Statistics;2015-09-28
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