Tests of strict stationarity based on quantile indicators

DOI10.1111/j.1467-9892.2010.00676.xzbMath1226.91084OpenAlexW1571239043MaRDI QIDQ3103198

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Publication date: 26 November 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00676.x

zbMATH Keywords

stochastic volatilitydispersionquantilesskewnessstationarity testsexpectiles

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

A nonparametric test of stationarity for independent data ⋮ Stationarity as a path property ⋮ Testing the equality of the laws of two strictly stationary processes ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function ⋮ Testing for strict stationarity in a random coefficient autoregressive model

Uses Software

• CAViaR
• STAMP

Cites Work

• Unnamed Item
• Asymmetric Least Squares Estimation and Testing
• A robust version of the KPSS test based on indicators
• The quantilogram: with an application to evaluating directional predictability
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Testing for a slowly changing level with special reference to stochastic volatility
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• Testing for the Constancy of Parameters Over Time
• TESTS OF COMMON STOCHASTIC TRENDS

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