Recent Publications
- Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
- Stability of AR-GARCH models
- Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
- Tests for Nonlinear Cointegration
- Testing for the cointegrating rank of a VAR process with level shift and trend break .
- Stability of Regime Switching Error Correction Models under Linear Cointegration