Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility

DOI10.1080/07474938.2017.1348684zbMath1490.62233OpenAlexW2567491992MaRDI QIDQ5860930

Anton Skrobotov, A. M. Robert Taylor, Giuseppe Cavaliere

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/19688/1/seas_volat_DIAGONAL_R2v2.pdf

zbMATH Keywords

wild bootstrapseasonal unit rootsconditional heteroscedasticity(periodic) nonstationary volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Non-parametric seasonal unit root tests under periodic non-stationary volatility

Cites Work

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