Non-linear unit root testing with arctangent trend: Simulation and applications in finance

DOI10.1080/25742558.2018.1458555zbMath1426.62258OpenAlexW2794988066MaRDI QIDQ5193244

Deniz Ilalan, Özgür Özel

Publication date: 10 September 2019

Published in: Cogent Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/25742558.2018.1458555

zbMATH Keywords

asymptotic distributionunit root testsmooth transition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Economic time series analysis (91B84)

Cites Work

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