Adaptive Testing for Cointegration With Nonstationary Volatility-Reference-Cited by-同舟云学术

Adaptive Testing for Cointegration With Nonstationary Volatility

Published:2021-02-03 Issue: Volume: Page:1-12
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Boswijk H. Peter¹,Zu Yang²

Affiliation:

1. Tinbergen Institute and Amsterdam School of Economics, University of Amsterdam, Amsterdam, The Netherlands;;

2. School of Economics, University of Nottingham, Nottingham, UK

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2020.1867558

Reference40 articles.

1. Modeling and Forecasting Realized Volatility

2. Unit Root Testing with Unstable Volatility

3. Boswijk, H. P. (1995), “Identifiability of Cointegrated Systems,” Tinbergen Institute Discussion Paper # 95-78, available at http://dare.uva.nl/document/2/163397.

4. Boswijk, H. P. (2001), “Testing for a Unit Root With Near-Integrated Volatility,” Tinbergen Institute Discussion Paper # 01-077/4, http://papers.tinbergen.nl/01077.pdf.

5. Inference on co-integration parameters in heteroskedastic vector autoregressions

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