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Review of Quantitative Finance and Accounting
Article . 1994 . Peer-reviewed
License: Springer TDM
Data sources: Crossref
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Garch effects on a test of cointegration

Authors: Franses, Philip Hans; Kofman, P; Moser, J;

Garch effects on a test of cointegration

Abstract

This article discusses the effects of GARCH type error processes on the use of the Engle and Granger cointegration test for two variables. Simulation results indicate that (nearly) integrated GARCH processes, as well as GARCH processes that are not covariance stationary, change the critical values. An application to testing for cointegration between spot and futures prices illustrates the practical relevance of using the appropriate critical values.

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Netherlands
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EUR ESE 11

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
5
Average
Average
Average
bronze