Powerful tests for structural changes in volatility
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Publication:528175
DOI10.1016/J.JECONOM.2012.11.001zbMATH Open1443.62374OpenAlexW3123022612MaRDI QIDQ528175FDOQ528175
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002473
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Cites Work
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Cited In (5)
- Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility
- PORTMANTEAU AUTOCORRELATION TESTS UNDER Q -DEPENDENCE AND HETEROSKEDASTICITY
- ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY
- Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
- Testing for changing volatility
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