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Citations for "Nonstationarities in Stock Returns"

by Cătălin Stărică & Clive Granger

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  1. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print, HAL halshs-00179343, HAL.
  2. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
  3. Gürtler, Marc & Rauh, Ronald, 2013. "Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns," Working Papers, Technische Universität Braunschweig, Institute of Finance IF43V1, Technische Universität Braunschweig, Institute of Finance.
  4. Cristina Amado & Timo Teräsvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," CREATES Research Papers, School of Economics and Management, University of Aarhus 2012-07, School of Economics and Management, University of Aarhus.
  5. Pascalau, Razvan & Thomann, Christian & Gregoriou, Greg N., 2010. "Unconditional mean, Volatility and the Fourier-Garch representation," MPRA Paper 35932, University Library of Munich, Germany.
  6. Gürtler, Marc & Kreiss, Jens-Peter & Rauh, Ronald, 2009. "A non-stationary approach for financial returns with nonparametric heteroscedasticity," Working Papers, Technische Universität Braunschweig, Institute of Finance IF31V2, Technische Universität Braunschweig, Institute of Finance.
  7. Chun Liu & John M. Maheu, 2008. "Are There Structural Breaks in Realized Volatility?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(3), pages 326-360, Summer.
  8. Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-24, School of Economics and Management, University of Aarhus.
  9. Jörg Polzehl & Vladimir Spokoiny, 2006. "Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2006-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  10. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Banco de Espa�a Working Papers, Banco de Espa�a 1230, Banco de Espa�a.
  11. Dominique Guégan & Philippe Peretti, 2013. "An omnibus test to detect time-heterogeneity in time series," Computational Statistics, Springer, Springer, vol. 28(3), pages 1225-1239, June.
  12. He, Zhongfang & Maheu, John M., 2010. "Real time detection of structural breaks in GARCH models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2628-2640, November.
  13. Jiti Gao & Peter M. Robinson, 2013. "Inference on Nonstationary Time Series with Moving Mean," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 15/13, Monash University, Department of Econometrics and Business Statistics.
  14. repec:hal:journl:halshs-00511995 is not listed on IDEAS
  15. Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1585, Cowles Foundation for Research in Economics, Yale University.
  16. Robinson, Peter M., 2012. "Nonparametric trending regression with cross-sectional dependence," Journal of Econometrics, Elsevier, Elsevier, vol. 169(1), pages 4-14.
  17. Piotr Fryzlewicz & H. S. Oh, 2011. "Thick pen transformation for time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 37663, London School of Economics and Political Science, LSE Library.
  18. Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(3), pages 423-446, June.
  19. Richard T. Baillie & Claudio Morana, 2007. "Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach," Working Papers, Queen Mary, University of London, School of Economics and Finance 593, Queen Mary, University of London, School of Economics and Finance.
  20. Dominique Guegan & Philippe de Peretti, 2011. "Tests of Structural Changes in Conditional Distributions with Unknown Changepoints," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 11042, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  21. Sancetta, A. & Nikanrova, A., 2005. "Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0516, Faculty of Economics, University of Cambridge.
  22. J. Polzehl & V. Spokoiny & C. Starica, 2004. "When did the 2001 recession really start?," Econometrics, EconWPA 0411017, EconWPA.
  23. Gürtler, Marc & Rauh, Ronald, 2009. "Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model," Working Papers, Technische Universität Braunschweig, Institute of Finance IF32V2, Technische Universität Braunschweig, Institute of Finance.
  24. Babikir, Ali & Gupta, Rangan & Mwabutwa, Chance & Owusu-Sekyere, Emmanuel, 2012. "Structural breaks and GARCH models of stock return volatility: The case of South Africa," Economic Modelling, Elsevier, Elsevier, vol. 29(6), pages 2435-2443.
  25. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods and Applications, Springer, Springer, vol. 19(3), pages 399-430, August.
  26. Lu, Yang K. & Perron, Pierre, 2010. "Modeling and forecasting stock return volatility using a random level shift model," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(1), pages 138-156, January.
  27. Hull, Matthew & McGroarty, Frank, 2014. "Do emerging markets become more efficient as they develop? Long memory persistence in equity indices," Emerging Markets Review, Elsevier, Elsevier, vol. 18(C), pages 45-61.
  28. Xu, Ke-Li, 2013. "Power monotonicity in detecting volatility levels change," Economics Letters, Elsevier, Elsevier, vol. 121(1), pages 64-69.
  29. Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers, Tinbergen Institute 05-044/4, Tinbergen Institute, revised 08 Jun 2006.
  30. C. Stéphan & S. Skander, 2003. "Statistical analysis of financial time series under the assuption of local stationarity," THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise 2003-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  31. Davies, Laurie & Höhenrieder, Christian & Krämer, Walter, 2012. "Recursive computation of piecewise constant volatilities," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3623-3631.
  32. Ahamada, Ibrahim & Jolivaldt, Philippe, 2013. "Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP," Economic Modelling, Elsevier, Elsevier, vol. 31(C), pages 460-466.
  33. Piotr Fryzlewicz & Theofanis Sapatinas & Suhasini Subba Rao, 2008. "Normalized least-squares estimation in time-varying ARCH models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 25187, London School of Economics and Political Science, LSE Library.
  34. repec:hal:journl:halshs-00187875 is not listed on IDEAS
  35. Gürtler, Marc & Rauh, Ronald, 2012. "Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity," Working Papers, Technische Universität Braunschweig, Institute of Finance IF41V1, Technische Universität Braunschweig, Institute of Finance.
  36. David Neto & Sylvain Sardy, 2012. "Moments structure of ℓ 1 -stochastic volatility models," Quality & Quantity: International Journal of Methodology, Springer, Springer, vol. 46(6), pages 1947-1952, October.
  37. Hood, Matthew & Malik, Farooq, 2013. "Is gold the best hedge and a safe haven under changing stock market volatility?," Review of Financial Economics, Elsevier, Elsevier, vol. 22(2), pages 47-52.
  38. Catalin Starica & Stefano Herzel & Tomas Nord, 2005. "Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?," Econometrics, EconWPA 0508003, EconWPA.
  39. Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers, University of Pretoria, Department of Economics 201357, University of Pretoria, Department of Economics.
  40. Todea, Alexandru & Platon, Diana, 2012. "Sudden Changes In Volatility In Central And Eastern Europe Foreign Exchange Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 38-51, June.
  41. repec:hal:wpaper:halshs-00721327 is not listed on IDEAS
  42. Fried, Roland, 2012. "On the online estimation of local constant volatilities," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3080-3090.
  43. Idier, J., 2006. "Stock exchanges industry consolidation and shock transmission," Working papers, Banque de France 159, Banque de France.
  44. David Neto & Sylvain Sardy & Paul Tseng, 2009. "l1-Penalized Likelihood Smoothing of Volatility Processes allowing for Abrupt Changes," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva, Institut d'Economie et Econométrie, Université de Genève 2009.05, Institut d'Economie et Econométrie, Université de Genève.
  45. Zhongjun Qu & Pierre Perron, 2008. "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2008-007, Boston University - Department of Economics.
  46. Krämer, Walter & Tameze, Baudouin & Christou, Konstantinos, 2012. "On the origin of high persistence in GARCH-models," Economics Letters, Elsevier, Elsevier, vol. 114(1), pages 72-75.
  47. Ewing, Bradley T. & Malik, Farooq, 2013. "Volatility transmission between gold and oil futures under structural breaks," International Review of Economics & Finance, Elsevier, Elsevier, vol. 25(C), pages 113-121.