Wavelet variance ratio cointegration test and wavestrapping

DOI10.1016/j.jmva.2018.12.011zbMath1417.62115OpenAlexW2908498129MaRDI QIDQ2418520

Burak Alparslan Eroğlu

Publication date: 27 May 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2018.12.011

zbMATH Keywords

waveletcointegrationfractional integrationwavestrapping

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Numerical methods for wavelets (65T60)

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