Advanced Search
MyIDEAS: Login

Citations for "Unit root tests with conditional heteroskedasticity"

by Kim, Kiwhan & Schmidt, Peter

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Cavaliere, Giuseppe, 2004. "Testing stationarity under a permanent variance shift," Economics Letters, Elsevier, vol. 82(3), pages 403-408, March.
  2. Marco Taboga, 2013. "What is a prime bank? A Euribor – OIS spread perspective," Temi di discussione (Economic working papers) 895, Bank of Italy, Economic Research and International Relations Area.
  3. Lopez, Jose A, 2001. "Evaluating the Predictive Accuracy of Volatility Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(2), pages 87-109, March.
  4. Donald W.K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers 1665RR, Cowles Foundation for Research in Economics, Yale University, revised Feb 2012.
  5. Wolters, Jürgen & Hassler, Uwe, 2005. "Unit root testing," Discussion Papers 2005/23, Free University Berlin, School of Business & Economics.
  6. Vougas, Dimitrios V., 2008. "Unit root testing based on BLUS residuals," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1943-1947, September.
  7. Li, Yushu & Shukur, Ghazi, 2009. "Testing for Unit Root against LSTAR model – wavelet improvements under GARCH distortion," Working Paper Series in Economics and Institutions of Innovation 184, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
  8. Lee, Tae-Hwy & Tse, Yiuman, 1996. "Cointegration tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 73(2), pages 401-410, August.
  9. Steven Cook, 2006. "The robustness of modified unit root tests in the presence of GARCH," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 359-363.
  10. Steven Cook, 2009. "A re-examination of the stationarity of inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 1047-1053.
  11. Mantalos, Panagiotis, 2012. "Robust critical values for unit root tests for series with conditional heteroscedasticity errors: An application of the simple NoVaS transformation," Working Papers 2012:2, Örebro University, School of Business.
  12. Hou, Ai Jun & Suardi, Sandy, 2011. "Modelling and forecasting short-term interest rate volatility: A semiparametric approach," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 692-710, September.
  13. Steven Cook, 2006. "GARCH, heteroscedasticity-consistent covariance matrix estimation and (non)linear unit root testing," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(4), pages 217-222, July.
  14. BAUWENS, Luc & DEPRINS, Dominique & VANDEUREN, Jean-Pierre, 1997. "Modelling interest rates with a cointegrated VAR-GARCH model," CORE Discussion Papers 1997080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  15. Shigeyuki Hamori & Yoshihiro Hashiguchi, 2012. "Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity," Economics Bulletin, AccessEcon, vol. 32(3), pages 2353-2365.
  16. Li, Yong & Chong, Terence Tai-Leung & Zhang, Jie, 2012. "Testing for a unit root in the presence of stochastic volatility and leverage effect," Economic Modelling, Elsevier, vol. 29(5), pages 2035-2038.
  17. Cook, Steven, 2008. "Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 109-116.
  18. Silvo Dajcman, 2012. "The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 368-390, August.
  19. Charles R. Nelson & Jeremy Piger & Eric Zivot, 2000. "Markov regime-switching and unit root tests," International Finance Discussion Papers 683, Board of Governors of the Federal Reserve System (U.S.).
  20. Alvaro Escribano & J. Ignacio Peña & Pablo Villaplana, 2011. "Modelling Electricity Prices: International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 622-650, October.
  21. Jerome Henry & Jens Weidmann, 2005. "The French-German Interest Rate Differential Since German," International Finance 0503009, EconWPA.
  22. Ho, Kin Yip & Tsui, Albert K.C., 2004. "Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach," China Economic Review, Elsevier, vol. 15(4), pages 424-442.
  23. Kai Carstensen, 2003. "The finite-sample performance of robust unit root tests," Statistical Papers, Springer, vol. 44(4), pages 469-482, October.
  24. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2014. "Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity," Economic Modelling, Elsevier, vol. 36(C), pages 161-171.
  25. Matei Demetrescu, 2010. "On the Dickey–Fuller test with White standard errors," Statistical Papers, Springer, vol. 51(1), pages 11-25, January.
  26. Marc Sáez & Robert M. Kunst, 1995. "ARCH patterns in cointegrated systems," Economics Working Papers 110, Department of Economics and Business, Universitat Pompeu Fabra.
  27. Panagiotis Mantalos & Kristofer Mansson & Ghazi Shukur, 2010. "The effect of spillover on the Johansen tests for cointegration: a Monte Carlo analysis," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 327-342.
  28. Jamel Trabelsi & Moïse Sidiropoulos, 2001. "Les chocs monétaires et la persistance du taux de chômage," Économie et Prévision, Programme National Persée, vol. 148(2), pages 41-47.
  29. Hartmann, Philipp, 1999. "Trading volumes and transaction costs in the foreign exchange market: Evidence from daily dollar-yen spot data," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 801-824, May.
  30. Zhijie Xiao & Luiz Renato Lima, 2007. "Testing Covariance Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 643-667.
  31. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
  32. Paulo Rodrigues & Antonio Rubia, 2008. "A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity," Statistical Papers, Springer, vol. 49(3), pages 581-593, July.
  33. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Valuation ratios and price deviations from fundamentals," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2325-2346, August.
  34. Chew Lian Chua & Sandy Suardi, 2006. "Testing for a Unit Root in the Presence of a Jump Diffusion Process with GARCH Errors," Melbourne Institute Working Paper Series wp2006n28, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  35. Paulo M. M. Rodrigues & Antonio Rubia, 2004. "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics 0405004, EconWPA.
  36. Jeng, Jau-Lian, 1999. "Interest parity, fractional differencing, and the strength of attraction: a reexamination of the cost-of-carry futures pricing model," Global Finance Journal, Elsevier, vol. 10(1), pages 25-34.
  37. Donald W.K. Andrews & Patrik Guggenberger, 2011. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," Cowles Foundation Discussion Papers 1812, Cowles Foundation for Research in Economics, Yale University.
  38. Jamel Trabelsi, 1997. "Les tests de racine unitaire et les modèles Arch : application au taux de chômage," Économie et Prévision, Programme National Persée, vol. 131(5), pages 177-190.
  39. Cook, Steven, 2006. "The impact of GARCH on asymmetric unit root tests," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 745-752.
  40. Y Hsing, 2004. "Impacts of Dollar Depreciation and Low Deposit Rates on the US Economy," Economic Issues Journal Articles, Economic Issues, vol. 9(1), pages 1-14, March.
  41. Giovanni Razzu & Carl Singleton, 2013. "Are Business Cycles Gender Neutral?," Economics & Management Discussion Papers em-dp2013-07, Henley Business School, Reading University.
  42. Rodrigues, Paulo M.M. & Rubia, Antonio, 2005. "The performance of unit root tests under level-dependent heteroskedasticity," Economics Letters, Elsevier, vol. 89(3), pages 262-268, December.
  43. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Discussion Papers in Economics at the University of Washington 0040, Department of Economics at the University of Washington.
  44. Jin-Yu Zhang & Yong Li & Zhu-Ming Chen, 2013. "Unit Root Hypothesis in the Presence of Stochastic Volatility, a Bayesian Analysis," Computational Economics, Society for Computational Economics, vol. 41(1), pages 89-100, January.
  45. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, School of Economics and Management, University of Aarhus.
  46. Hecq, Alain, 1995. "Unit root tests with level shift in the presence of GARCH," Economics Letters, Elsevier, vol. 49(2), pages 125-130, August.