Testing for covariance stationarity in stock market data

DOI10.1016/0165-1765(90)90163-UzbMath1376.62068OpenAlexW1987380341MaRDI QIDQ1676731

Adrian R. Pagan, G. William Schwert

Publication date: 9 November 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(90)90163-u

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• Unnamed Item
• Testing for covariance stationarity in stock market data
• The limiting distribution of extremal exchange rate returns
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Long-Term Memory in Stock Market Prices
• Time Series Regression with a Unit Root

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