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Testing for covariance stationarity in stock market data

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Author Info
Pagan, Adrian R.
Schwert, G. William

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V84-4590XS9-13B/2/e58c931bda786404467e3eb6b94be359
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 33 (1990)
Issue (Month): 2 (June)
Pages: 165-170
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Handle: RePEc:eee:ecolet:v:33:y:1990:i:2:p:165-170

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  1. Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006. "Testing Covariance Stationarity," Economics Working Papers (Ensaios Economicos da EPGE) 632, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
  2. Ahamada Ibrahim, 2003. "Non stationarity characteristics of the S\&P500 returns:An approach based on the evolutionary spectral density," Economics Bulletin, Economics Bulletin, vol. 3(32), pages 1-7. [Downloadable!]
  3. Ibrahim Ahamada & Jamel Jouini & Mohamed Boutahar, 2004. "Detecting multiple breaks in time series covariance structure: a non-parametric approach based on the evolutionary spectral density," Applied Economics, Taylor and Francis Journals, vol. 36(10), pages 1095-1101, June. [Downloadable!] (restricted)
  4. Ai Deng & Pierre Perron, 2005. "The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions," Boston University - Department of Economics - Working Papers Series WP2005-046, Boston University - Department of Economics. [Downloadable!]
  5. Ramsey, James B. & Zhang, Zhifeng, 1995. "The Analysis of Foreign Exchange Data Using Waveform Dictionaries," Working Papers 95-03, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
  6. Cornelis A. Los, 2004. "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance 0409033, EconWPA. [Downloadable!]
  7. Mohamed Boutahar & Jamel Jouini, 2007. "A Methodology For Detecting Breaks In The Mean And Covariance Structure Of Time Series," Working Papers halshs-00354249_v1, HAL. [Downloadable!]
  8. O. Beelders, 2003. "An investigation of the unconditional distribution of South African stock index returns," Applied Financial Economics, Taylor and Francis Journals, vol. 13(9), pages 623-633, September. [Downloadable!] (restricted)
  9. Carmela E. Quintos & Zhenhong Fan & Peter C.B. Phillips, 2000. "Structural Change in Tail Behavior and the Asian Financial Crisis," Cowles Foundation Discussion Papers 1283, Cowles Foundation, Yale University. [Downloadable!]
  10. Jack H. Rubens & David A. Louton & Elizabeth J. Yobaccio, 1998. "Measuring the Significance of Diversification Gains," Journal of Real Estate Research, American Real Estate Society, vol. 16(1), pages 73-86. [Downloadable!]
  11. Leïla Nouira & Ibrahim Ahamada & Jamel Jouini & Alain Nurbel, 2004. "Long-memory and shifts in the unconditional variance in the exchange rate euro/US dollar returns," Applied Economics Letters, Taylor and Francis Journals, vol. 11(9), pages 591-594, January. [Downloadable!] (restricted)
  12. M.F. Omran, 1997. "Moment condition failure in stock returns: UK evidence," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(4), pages 201-206, December. [Downloadable!] (restricted)
  13. Ignacio Mauleon, Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth–Sargan density to the Student’s t," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 225-239, June. [Downloadable!] (restricted)
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