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Testing stationarity for stock market data

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  • Dehay, Dominique
  • Leskow, Jacek

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  • Dehay, Dominique & Leskow, Jacek, 1996. "Testing stationarity for stock market data," Economics Letters, Elsevier, vol. 50(2), pages 205-212, February.
    • Handle: RePEc:eee:ecolet:v:50:y:1996:i:2:p:205-212
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    References listed on IDEAS

    as
    1. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
    2. Hurd, Harry L. & Leskow, Jacek, 1992. "Estimation of the Fourier coefficient functions and their spectral densities for \gf-mixing almost periodically correlated processes," Statistics & Probability Letters, Elsevier, vol. 14(4), pages 299-306, July.
    3. Hurd Harry L. & Leskow Jacek, 1992. "Strongly Consistent And Asymptotically Normal Estimation Of The Covariance For Almost Periodically Correlated Processes," Statistics & Risk Modeling, De Gruyter, vol. 10(3), pages 201-226, March.
    4. repec:cdl:ucsbec:5-93 is not listed on IDEAS
    5. Pagan, Adrian R. & Schwert, G. William, 1990. "Testing for covariance stationarity in stock market data," Economics Letters, Elsevier, vol. 33(2), pages 165-170, June.
    6. Nelson, Daniel B., 1992. "Filtering and forecasting with misspecified ARCH models I : Getting the right variance with the wrong model," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 61-90.
    7. Léskow, Jacek, 1994. "Asymptotic normality of the spectral density estimators for almost periodically correlated stochastic processes," Stochastic Processes and their Applications, Elsevier, vol. 52(2), pages 351-360, August.
    8. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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    Cited by:

    1. ŁUkasz Lenart & Jacek Leśkow & Rafał Synowiecki, 2008. "Subsampling in testing autocovariance for periodically correlated time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 995-1018, November.
    2. VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," LIDAM Discussion Papers CORE 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

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