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Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
Giuseppe Cavaliere,
Anders Christian Rahbek
, A. M. Robert Taylor
Department of Economics
1340
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Dive into the research topics of 'Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility'. Together they form a unique fingerprint.
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Keyphrases
Volatility
100%
Cointegration
100%
Nonstationary Volatility
100%
Vector Autoregression
100%
Macroeconomics
25%
Multivariate Stochastic Volatility
25%
Wild Bootstrap
25%
Parametric Model
25%
Volatility Process
25%
Covariation
25%
Inference Problem
25%
Bootstrap
25%
Rank Test
25%
Large Sample Distributions
25%
Rank Statistics
25%
Volatility Breaks
25%
Cointegration Test
25%
Mathematics
Cointegration
100%
Vector Autoregression
100%
Integration Test
50%
Rank Test
50%
Sample Distribution
50%
Parametric Model
50%
Rank Statistic
50%
Economics, Econometrics and Finance
Volatility
100%
Autoregression
100%
Macroeconomics
14%