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Tests of strict stationarity based on quantile indicators |
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| Authors: | Fabio Busetti Andrew Harvey |
| Affiliation: | 1. Research Department, Bank of Italy;2. Faculty of Economics, Cambridge University;3. E‐mail: |
| Abstract: | |
| Keywords: | Dispersion expectiles quantiles skewness stationarity tests stochastic volatility C12 C22 |