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Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets

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Loretan, Mico
Phillips, Peter C. B.

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File URL: http://www.sciencedirect.com/science/article/B6VFG-45F9NFS-4/2/15e341b006d52cfba93be887b978b8ed
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 1 (1994)
Issue (Month): 2 (January)
Pages: 211-248
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Handle: RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248

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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!]
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  2. Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. 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!]
  4. Jonathan Wright, 2002. "Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 397-417. [Downloadable!] (restricted)
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  5. Jonathan B. Hill, 2005. "On Tail Index Estimation Using Dependent,Heterogenous Data," Working Papers 0512, Florida International University, Department of Economics. [Downloadable!]
  6. Raúl Susmel, 1998. "Extreme Observations and Diversification in Latin American Emerging Equity Markets," CEMA Working Papers: Serie Documentos de Trabajo. 138, Universidad del CEMA. [Downloadable!]
  7. Jonathan B. Hill, 2005. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Strochastic Processes with an Application," Working Papers 0513, Florida International University, Department of Economics. [Downloadable!]
  8. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2008. "Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility," CREATES Research Papers 2008-50, School of Economics and Management, University of Aarhus. [Downloadable!]
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  9. I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, EconWPA, revised 26 Sep 1996. [Downloadable!]
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  10. Roman Liesenfeld & Robert C. Jung, 2000. "Stochastic volatility models: conditional normality versus heavy-tailed distributions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 137-160. [Downloadable!]
  11. Ahamada Ibrahim, 2004. "A complementary test for the KPSS test with an application to the US Dollar/Euro exchange rate," Economics Bulletin, Economics Bulletin, vol. 3(4), pages 1-5. [Downloadable!]
  12. 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!]
  13. Dennis W. Jansen, 2001. "Limited Downside Risk In Portfolio Selection Among U.S. And Pacific Basin Equities," International Economic Journal, Korean International Economic Association, vol. 15(4), pages 1-22, December. [Downloadable!] (restricted)
  14. Franses, Philip Hans & Dijk, Dick van, 1997. "Do we often find ARCH because of neglected outliers ?," Econometric Institute Report 42, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  15. 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)
  16. 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!]
  17. Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers 1688, Cowles Foundation, Yale University. [Downloadable!]
  18. 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)
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