Adaptive Testing for Cointegration with Nonstationary Volatility

Adaptive wild bootstrap tests for a unit root with non-stationary volatility

(2018) H. Peter Boswijk et al.   Econometrics Journal

Unit Root Testing with Unstable Volatility

(2017) Brendan K. Beare   JOURNAL OF TIME SERIES ANALYSIS

Inference on co-integration parameters in heteroskedastic vector autoregressions

(2016) H. Peter Boswijk et al.   JOURNAL OF ECONOMETRICS

DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER

(2016) Giuseppe Cavaliere et al.   ECONOMETRIC THEORY

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

(2013) Giuseppe Cavaliere et al.   Econometric Reviews

Why Frequency Matters for Unit Root Testing in Financial Time Series

(2012) H. Peter Boswijk et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Adaptive estimation of vector autoregressive models with time-varying variance: Application to testing linear causality in mean

(2012) Valentin Patilea et al.   JOURNAL OF STATISTICAL PLANNING AND INFERENCE

Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

(2012) Jianqing Fan et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Adaptive estimation of autoregressive models with time-varying variances

(2007) Ke-Li Xu et al.   JOURNAL OF ECONOMETRICS