Robust tests for changing volatility
From MaRDI portal
Cites work
- scientific article; zbMATH DE number 1911817 (Why is no real title available?)
- A Local Linear Least-Absolute-Deviations Estimator of Volatility
- Adaptive estimation of autoregressive models with time-varying variances
- Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Causality tests and conditional heteroskedasticity: Monte Carlo evidence
- Comparison of two bandwidth selectors with dependent errors
- Detecting for smooth structural changes in GARCH models
- Detecting parameter shift in garch models
- Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
- Efficient estimation of a multivariate multiplicative volatility model
- Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
- How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?
- Hybrid quantile estimation for asymmetric power GARCH models
- LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises
- Least absolute deviations estimation for ARCH and GARCH models
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric testing for smooth structural changes in panel data models
- Non‐parametric detection and estimation of structural change
- Powerful tests for structural changes in volatility
- Prediction and nonparametric estimation for time series with heavy tails
- Real-Time Inflation Forecasting in a Changing World
- Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
- Regression with Nonstationary Volatility
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
- Testing for a unit root in the presence of a variance shift
- Testing for changing volatility
- Testing for smooth structural changes in time series models via nonparametric regression
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
- Unit Root Tests under Time-Varying Variances
- Unit root tests with a break in innovation variance.
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
This page was built for publication: Robust tests for changing volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6841339)
