[JAE Logo]

Journal of Applied Econometrics Data Archive




Marina Balboa, Paulo M. M. Rodrigues, Antonio Rubia, and A. M. Robert Taylor, "Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume", Journal of Applied Econometrics, Vol. 36, No. 5, 2021, pp. 544-565.


Return to JAE Data Archive