Testing against nonstationary volatility in time series
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
- Abdelkamel Alj & Rajae Azrak & Guy Melard, 2014. "On Conditions in Central Limit Theorems for Martingale Difference Arrays Long Version," Working Papers ECARES ECARES 2014-05, ULB -- Universite Libre de Bruxelles.
More about this item
KeywordsAutoregression CUSUMSQ test Heteroskedasticity Nonstationary volatility Variance change;
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