Spurious regression due to neglected of non-stationary volatility
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DOI: 10.1007/s00180-016-0687-x
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- Si Zhang & Hao Jin & Menglin Su, 2024. "Modified Block Bootstrap Testing for Persistence Change in Infinite Variance Observations," Mathematics, MDPI, vol. 12(2), pages 1-25, January.
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Keywords
Spurious regression; Non-stationary volatility; t-ratio test; Asymptotic properties;All these keywords.
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