Power monotonicity in detecting volatility levels change

DOI10.1016/J.ECONLET.2013.06.030zbMATH Open1284.62530OpenAlexW2085019742MaRDI QIDQ2446476FDOQ2446476

Authors: Ke-Li Xu 

Publication date: 17 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2013.06.030

Recommendations

• Powerful tests for structural changes in volatility
• Tests for changing mean with monotonic power
• Testing for structural change under non-stationary variances
• A test for changing trends with monotonic power
• Restoring monotone power in the CUSUM test

zbMATH Keywords

structural changeCUSUM testvolatility modelsLM testnon-monotonic powerIGARCH effect

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Title not available (Why is that?)
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Modeling volatility persistence of speculative returns: a new approach
• Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Neglecting parameter changes in GARCH models
• Adaptive estimation of autoregressive models with time-varying variances
• Testing for unit roots in time series models with non-stationary volatility
• Robustifying multivariate trend tests to nonstationary volatility
• A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
• THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
• Tests for changing mean with monotonic power
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations

Cited In (5)

• Monitoring disruptions in financial markets
• Restoring monotonic power in Wald/LM-type tests
• Testing for structural change under non-stationary variances
• A test for changing trends with monotonic power
• Powerful tests for structural changes in volatility

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