Powerful tests for structural changes in volatility
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Cites work
- scientific article; zbMATH DE number 5071096 (Why is no real title available?)
- scientific article; zbMATH DE number 1911817 (Why is no real title available?)
- scientific article; zbMATH DE number 2104212 (Why is no real title available?)
- A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
- A nonparametric test for changing trends
- Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting
- Bandwidth selection in nonparametric kernel testing
- Change-point estimation in ARCH models
- Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
- Detecting parameter shift in garch models
- Evaluating GARCH models.
- Fixed-\(b\) analysis of LM-type tests for a shift in mean
- Generalized likelihood ratio statistics and Wilks phenomenon
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Modeling volatility persistence of speculative returns: a new approach
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Monitoring Structural Change
- Neglecting parameter changes in GARCH models
- Nonlinear time series. Nonparametric and parametric methods
- Nonmonotonic power for tests of a mean shift in a time series§
- Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters
- Predictability of stock returns and asset allocation under structural breaks
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
- Strong rules for detecting the number of breaks in a time series
- THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
- Testing for parameter changes in ARCH models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests for changing mean with monotonic power
- The Cusum Test with Ols Residuals
- The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
- Unit Root Tests under Time-Varying Variances
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
Cited in
(16)- Portmanteau autocorrelation tests under \(q\)-dependence and heteroskedasticity
- Testing for structural change under non-stationary variances
- Monitoring disruptions in financial markets
- Real-time monitoring test for realized volatility
- Testing structural changes in the Chinese stock market by CUSUM
- Detecting structural breaks in realized volatility
- Fourier methods for analyzing piecewise constant volatilities
- Bootstrap tests for structural change with infinite variance observations
- Power monotonicity in detecting volatility levels change
- Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
- Towards uniformly efficient trend estimation under weak/strong correlation and non-stationary volatility
- Adaptive long memory testing under heteroskedasticity
- Change-point inference on volatility in noisy Itô semimartingales
- Testing for changing volatility
- Detecting structural changes under nonstationary volatility
- Structural change test in duration of bull and bear markets
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