Advanced Search
MyIDEAS: Login to save this article or follow this journal

Testing stationarity for stock market data

Contents:

Author Info

  • Dehay, Dominique
  • Leskow, Jacek
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6V84-3VW1DMM-B/2/ee3b4207e096d00060e7f5029f2a12b6
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 50 (1996)
    Issue (Month): 2 (February)
    Pages: 205-212

    as in new window
    Handle: RePEc:eee:ecolet:v:50:y:1996:i:2:p:205-212

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/ecolet

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc.
    2. 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.
    3. 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.
    4. L├ęskow, 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.
    5. 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.
    6. repec:fth:calaec:5-93 is not listed on IDEAS
    7. 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.
    8. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:50:y:1996:i:2:p:205-212. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.