Testing for covariance stationarity in stock market data
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References listed on IDEAS
- Smith, Gregor W & Smith, R Todd, 1990.
"Stochastic Process Switching and the Return to Gold, 1925,"
Royal Economic Society, vol. 100(399), pages 164-175, March.
- Gregor W. Smith & R. Todd Smith, 1988. "Stochastic Process Switching and the Return to Gold, 1925," Working Papers 723, Queen's University, Department of Economics.
- Froot, Kenneth A. & Obstfeld, Maurice, 1991.
"Exchange-rate dynamics under stochastic regime shifts : A unified approach,"
Journal of International Economics,
Elsevier, vol. 31(3-4), pages 203-229, November.
- Kenneth A. Froot & Maurice Obstfeld, 1989. "Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach," NBER Working Papers 2835, National Bureau of Economic Research, Inc.
- Froot, Kenneth & Obstfeld, Maurice, 1991. "Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach," CEPR Discussion Papers 522, C.E.P.R. Discussion Papers.
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