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Original Articles

Stochastic unit roots modelling of stock price indices

Pages 311-315 | Published online: 07 Oct 2010

References

  • Granger , C. W. J. and Swanson , N. R. 1997 . An introduction to stochastic unit root processes . Journal of Econometrics , 80 : 35 – 62 .
  • Leybourne , S. J. , McCabe , B. P. M. and Mills , T. C. 1996a . Randomized unit root processes for modelling and forecasting financial time series: theory and applications . Journal of Forecasting , 15 : 253 – 270 .
  • Leybourne , S. J. , McCabe , B. P. M. and Tremayne , A. R. 1996b . Can economic time series be differenced to stationarity? . Journal of Business and Economic Statistics , 14 : 435 – 446 .

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