Testing for changing volatility

DOI10.1111/ECTJ.12108MaRDI QIDQ5084375zbMATH OpenOpenAlexFDO

Authors Jilin Wu, Zhijie Xiao

Publication date 24 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/ectj.12108

zbMATH Keywords

cross-validationnonparametricU-statisticvolatility changes

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(4)

• Testing for Trend Specifications in Panel Data Models
• Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
• Testing for structural changes in linear regressions with time-varying variance
• Testing for non-correlation between price and volatility jumps

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