A new fluctuation test for constant variances with applications to finance
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Publication:1928381
Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Cites work
- A Conditional Kolmogorov Test
- A new test for structural stability in the linear regression model
- An Asymptotic | chi 2 Test for the Equality of Two Correlation Matrices
- Break detection in the covariance structure of multivariate time series models
- Change-point estimation in ARCH models
- Changes of structure in financial time series and the GARCH model
- Covariance changes detection in multivariate time series
- Detecting parameter shift in garch models
- GARCH (1,1) processes are near epoch dependent
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- METHODS OF STATISTICAL ANALYSIS APPROPRIATE FOR k SAMPLES OF TWO VARIABLES
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- Monitoring disruptions in financial markets
- Monitoring Structural Change
- Range vs. maximum in the OLS-based version of the CUSUM test
- Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
- Testing and Locating Variance Changepoints with Application to Stock Prices
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- Testing for distributional change in time series
- The Cusum Test with Ols Residuals
Cited in
(16)- Fourier methods for analyzing piecewise constant volatilities
- A residual-based multivariate constant correlation test
- Jump robust daily covariance estimation by disentangling variance and correlation components
- An asymptotic test for constancy of the variance under short-range dependence
- Quantifying the data-dredging bias in structural break tests
- Estimating stochastic volatility models using realized measures
- Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
- On- and offline detection of structural breaks in thermal spraying processes
- On the application of new tests for structural changes on global minimum-variance portfolios
- Testing for a change in covariance operator
- Nonparametric tests for constant tail dependence with an application to energy and finance
- Tests for scale changes based on pairwise differences
- Inference for the lagged cross-covariance operator between functional time series
- Gradual variance change point detection with a smoothly changing mean trend
- Sequential detection of parameter changes in dynamic conditional correlation models
- Testing the constancy of the variance for time series with a trend
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