Inference on the long-memory properties of time series with non-stationary volatility

DOI10.1016/J.ECONLET.2016.04.034zbMath1398.62231OpenAlexW592190947MaRDI QIDQ1668281

Matei Demetrescu, Philipp Sibbertsen

Publication date: 3 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-531.pdf

zbMATH Keywords

persistencefractional integrationheteroskedasticitytime-varying variancemodulated process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

A nonparametric unit root test under nonstationary volatility

Cites Work

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