Title:

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

Authors:

Marina Balboa (U Alicante)
Paulo M. M. Rodrigues (Bank of Portugal, U Nova)
António Rua (U Alicante)
A M Robert Taylor (U Essex)

Journal:

Journal of Applied Econometrics

Year:

2021

Volume:

36

Number:

5

Pages:

544-565

JEL code:

C58 - Financial Econometrics