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Time Series with Roots on or Near the Unit Circle

In: Handbook of Financial Time Series

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  • Ngai Hang Chan

    (Chinese University of Hong Kong, Department of Statistics,)

Abstract

This paper reviews some of the developments of the unit root and near unit root time series. It gives an overview of this important topic and describes the impact of some of the recent progress on subsequent research.

Suggested Citation

  • Ngai Hang Chan, 2009. "Time Series with Roots on or Near the Unit Circle," Springer Books, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen (ed.), Handbook of Financial Time Series, chapter 30, pages 695-707, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-71297-8_30
    DOI: 10.1007/978-3-540-71297-8_30
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