Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility

By Giuseppe Cavaliere, Robert J. Taylor. 2008

63 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/54d42a123049fba3072127bcad5bdeb3ce86725a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Robert J. Taylor
2. Anders Rahbek
3. Giuseppe Cavaliere
4. Alan M. Taylor
5. Matei Demetrescu
6. Heejoon Han
7. Pentti Saikkonen
8. Dennis Kristensen

In Finance

1. Anders Rahbek
2. Giuseppe Cavaliere
3. Robert J. Taylor
4. Alan M. Taylor
5. Heejoon Han
6. Fang Xu
7. Dennis Kristensen

Citations in the corpus

• Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (2010, background): “For similar results in the univariate (unit root) case see Cavaliere and Taylor (2008).”