Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
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Publication:953736
DOI10.1016/j.jedc.2003.07.001zbMath1202.91344OpenAlexW2023889805MaRDI QIDQ953736
Wojciech W. Charemza, Svetlana Makarova, Mikhail Lifshits
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://www.le.ac.uk/economics/wch/bilinclm.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Markov processes: hypothesis testing (62M02)
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