This is a preview. Log in through your library . Abstract The scope of this paper is twofold. We first describe the tail behavior for general AR-GARCH processes and hence extend the results of Basrak, ...
When a time series has a unit root, the series is nonstationary and the ordinary least squares (OLS) estimator is not normally distributed. Dickey (1976) and Dickey and Fuller (1979) studied the ...
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