Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Giuseppe Cavaliere, Morten Ørregaard Nielsen, A. M.Robert Taylor*

*Corresponding author af dette arbejde

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review

16 Citationer (Scopus)

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Economics, Econometrics and Finance

Mathematics