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Citations for "Testing for covariance stationarity in stock market data"

by Pagan, Adrian R. & Schwert, G. William

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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, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  2. Domian, Dale L. & Louton, David A., 1997. "A threshold autoregressive analysis of stock returns and real economic activity," International Review of Economics & Finance, Elsevier, Elsevier, vol. 6(2), pages 167-179.
  3. 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.
  4. Straetmans, Stefan & Candelon, Bertrand, 2013. "Long-term asset tail risks in developed and emerging markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(6), pages 1832-1844.
  5. Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1688, Cowles Foundation for Research in Economics, Yale University.
  6. Cornelis A. Los, 2004. "Nonparametric Testing of the High-Frequency Efficiency of the 1997 Asian Foreign Exchange Markets," Finance, EconWPA 0409040, EconWPA.
  7. Kerry W. Fendick, 2013. "Pricing and Hedging Derivative Securities with Unknown Local Volatilities," Papers 1309.6164, arXiv.org, revised Oct 2013.
  8. M. F. Omran, 1997. "Moment condition failure in stock returns: UK evidence," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 4(4), pages 201-206.
  9. O. Beelders, 2003. "An investigation of the unconditional distribution of South African stock index returns," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(9), pages 623-633.
  10. Chen, Bin & Song, Zhaogang, 2013. "Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach," Journal of Econometrics, Elsevier, Elsevier, vol. 173(1), pages 83-107.
  11. Domian, Dale L. & Louton, David A., 1995. "Business cycle asymmetry and the stock market," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 35(4), pages 451-466.
  12. Ashima Goyal & Shruti Tripathi, 2012. "Regulations and price discovery: oil spot and futures markets," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-016, Indira Gandhi Institute of Development Research, Mumbai, India.
  13. Ahamada, Ibrahim, 2002. "Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density," Economics Letters, Elsevier, Elsevier, vol. 77(2), pages 177-186, October.
  14. Mauleon, Ignacio, 2003. "Financial densities in emerging markets: an application of the multivariate ES density," Emerging Markets Review, Elsevier, Elsevier, vol. 4(2), pages 197-223, June.
  15. Mohamed Boutahar & Jamel Jouini, 2007. "A Methodology For Detecting Breaks In The Mean And Covariance Structure Of Time Series," Working Papers halshs-00354249, HAL.
  16. Candelon, Bertrand & Straetmans, Stefan, 2006. "Testing for multiple regimes in the tail behavior of emerging currency returns," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(7), pages 1187-1205, November.
  17. Deng, Ai & Perron, Pierre, 2008. "The Limit Distribution Of The Cusum Of Squares Test Under General Mixing Conditions," Econometric Theory, Cambridge University Press, vol. 24(03), pages 809-822, June.
  18. Dehay, Dominique & Leskow, Jacek, 1996. "Testing stationarity for stock market data," Economics Letters, Elsevier, Elsevier, vol. 50(2), pages 205-212, February.
  19. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(1), pages 15-102, May.
  20. Carmela E. Quintos & Zhenhong Fan & Peter C.B. Phillips, 2000. "Structural Change in Tail Behavior and the Asian Financial Crisis," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1283, Cowles Foundation for Research in Economics, Yale University.
  21. 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 & Francis Journals, Taylor & Francis Journals, vol. 36(10), pages 1095-1101.
  22. Ahamada Ibrahim, 2003. "Non stationarity characteristics of the S\&P500 returns:An approach based on the evolutionary spectral density," Economics Bulletin, AccessEcon, vol. 3(32), pages 1-7.
  23. Atiq-ur-Rehman, 2011. "Impact of Model Specification Decisions on Unit Root Tests," International Econometric Review (IER), Econometric Research Association, Econometric Research Association, vol. 3(2), pages 22-33, September.
  24. Cornelis A. Los, 2004. "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance, EconWPA 0409033, EconWPA.
  25. repec:ebl:ecbull:v:3:y:2003:i:32:p:1-7 is not listed on IDEAS
  26. Ramsey, James B. & Zhang, Zhifeng, 1997. "The analysis of foreign exchange data using waveform dictionaries," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(4), pages 341-372, December.
  27. Joakim Westerlund, . "Heteroskedasticity Robust Panel Unit Root tests," Financial Econometics Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 2014_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  28. 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, Boston University - Department of Economics WP2005-046, Boston University - Department of Economics.
  29. Ignacio Mauleon & Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Student's t," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 6(2), pages 225-239.
  30. Daniel Bartz & Kerr Hatrick & Christian W. Hesse & Klaus-Robert M\"uller & Steven Lemm, 2011. "Directional Variance Adjustment: improving covariance estimates for high-dimensional portfolio optimization," Papers 1109.3069, arXiv.org, revised Mar 2012.
  31. Lyócsa, Štefan & Baumöhl, Eduard, 2012. "Testing the covariance stationarity of CEE stocks," MPRA Paper 43432, University Library of Munich, Germany.
  32. Van Bellegem, Sebastien & von Sachs, Rainer, 2004. "Forecasting economic time series with unconditional time-varying variance," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(4), pages 611-627.
  33. 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, American Real Estate Society, vol. 16(1), pages 73-86.
  34. Pedro J. F. de Lima & Michelle L. Barnes, 2000. "Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities," School of Economics Working Papers 2000-05, University of Adelaide, School of Economics.