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Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume

Balboa, Marina and Rodrigues, Paulo MM and Rubia, Antonio and Taylor, AM Robert (2021) Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. Journal of Applied Econometrics, 36 (5). pp. 544-565. DOI https://doi.org/10.1002/jae.2829



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