Multivariate Fractional Integration Tests Allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume

AuthID
 P-00V-5XZ
4
Author(s)
Balboa, M
·
Rubia, A
·
Taylor, AMR
Document Type
Article in Press
Year published
2021
Published
in JOURNAL OF APPLIED ECONOMETRICS, ISSN: 0883-7252
Volume: 36, Issue: 5, Pages: 544-565 (22)
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Publication Identifiers
SCOPUS: 2-s2.0-85109394916
Wos: WOS:000671738100001
Source Identifiers
ISSN: 0883-7252
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