A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity

Paulo Rodrigues and Antonio Rubia ()

Statistical Papers, 2008, vol. 49, issue 3, 593 pages

Keywords: Maximum likelihood estimation; Nonstationarity; Volatility; Interest rates (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s00362-006-0035-2

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