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Functional Coefficient Cointegration Models Subject to Time-Varying Volatility with an Application to the Purchasing Power Parity

Tu, YD; Wang, Y

Tu, YD (reprint author), Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China.; Tu, YD (reprint author), Peking Univ, Ctr Stat Sci, Beijing 100871, Peoples R China.

OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2019; 81 (6): 1401

Abstract

This paper analyses functional coefficient cointegration models with both stationary and non-stationary covariates, allowing time-varying (uncondition......

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