Stability Testing of Stock Returns Connections

DOI10.1007/978-3-319-56829-4_12MaRDI QIDQ3133368zbMATH OpenOpenAlexFDO

Authors M. A. Voronina, Petr A. Koldanov

Publication date 14 February 2018

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-56829-4_12

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Paired and multiple comparisons; multiple testing (62J15)

Recommendations

• Testing weak stationarity of stock returns
• Testing stationarity of the detrended price return in stock markets
• Empirical study of relation measures of stable distributed stock returns
• Testing for persistence in stock returns with GARCH-stable shocks
• Improved tests for stock return predictability
• Testing for episodic predictability in stock returns
• Testing stationarity for stock market data
• A reexamination of stock return predictability
• Testing for long-range dependence in world stock markets

Cited in

(3)

• On some statistical procedures for stock selection problem
• Homogeneity hypothesis testing for degree distribution in the market graph
• Testing marginal homogeneity in Hilbert spaces with applications to stock market returns

This page was built for publication: Stability Testing of Stock Returns Connections

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3133368)