Forecasting cointegrated nonstationary time series with time-varying variance
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Publication:341895
DOI10.1016/j.jeconom.2016.09.012zbMath1443.62290OpenAlexW2531444989MaRDI QIDQ341895
Publication date: 17 November 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.09.012
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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