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These distributions are shown to depend on both the spot volatility and the integrated variation associated with the innovation process. We propose a partial solution (requiring any leverage effects to be asymptotically negligible) to the identified inference problem using a wild bootstrap\u2013based approach. Results are initially presented in the context of martingale differences and are later generalized to allow for weak dependence. Monte Carlo evidence is also provided that suggests that our proposed bootstrap tests perform very well in finite samples in the presence of a range of innovation processes displaying nonstationary volatility and\/or weak dependence.<\/jats:p>","DOI":"10.1017\/s026646660809049x","type":"journal-article","created":{"date-parts":[[2009,9,3]],"date-time":"2009-09-03T10:25:18Z","timestamp":1251973518000},"page":"1228-1276","source":"Crossref","is-referenced-by-count":64,"title":["HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT"],"prefix":"10.1017","volume":"25","author":[{"given":"Giuseppe","family":"Cavaliere","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"A.M. 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