Testing for a slowly changing level with special reference to stochastic volatility

DOI10.1016/S0304-4076(98)00012-8MaRDI QIDQ1305654zbMATH OpenOpenAlexWikidataFDO

Authors V. Pereyra, Andrew C. Harvey, Mariane Streibel

Publication date 24 September 2000

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(98)00012-8

zbMATH Keywords

Cramer-von Mises distributionexchange ratesfinancial time seriesGARCH-modellocally best invariant testserial correlationunobserved componnents

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

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• Testing Covariance Stationarity
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Cites work

• A point optimal test for autoregressive disturbances
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3945113 (Why is no real title available?)
• scientific article; zbMATH DE number 274399 (Why is no real title available?)
• scientific article; zbMATH DE number 3357817 (Why is no real title available?)
• Improved quasi-maximum likelihood estimation for stochastic volatility models
• Multivariate Stochastic Variance Models
• Testing for a Serially Correlated Component in Regression Disturbances
• Testing for Deterministic Linear Trend in Time Series
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• 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?
• Tests for Deterministic Versus Indeterministic Cycles

Cited in

(8)

• Testing for serial correlation in the presence of stochastic volatility
• Testing for linear autoregressive dynamics under heteroskedasticity
• Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
• Tests of strict stationarity based on quantile indicators
• On markov chain monte carlo methods for nonlinear and non-gaussian state-space models
• Testing Linearity in an AR Errors-in-variables Model with Application to Stochastic Volatility
• Testing for changing volatility
• A Comparison of the Runs Test for Volatility Forecastability and the LM Test for GARCH Using Aggregated Returns

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Uses Software

• STAMP

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