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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. 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.
  2. 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, vol. 77(2), pages 177-186, October.
  3. 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.
  4. Domian, Dale L. & Louton, David A., 1997. "A threshold autoregressive analysis of stock returns and real economic activity," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 167-179.
  5. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  6. Ramsey, James B. & Zhang, Zhifeng, 1997. "The analysis of foreign exchange data using waveform dictionaries," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 341-372, December.
  7. L.L. Ong, 1996. "Stocks and Currencies: Are they related?," Economics Discussion / Working Papers 96-16, The University of Western Australia, Department of Economics.
  8. Mauleon, Ignacio, 2003. "Financial densities in emerging markets: an application of the multivariate ES density," Emerging Markets Review, Elsevier, vol. 4(2), pages 197-223, June.
  9. 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 for Research in Economics, Yale University.
  10. Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers 1688, Cowles Foundation for Research in Economics, Yale University.
  11. Ibrahim Ahamada & Jamel Jouini & Mohamed Boutahar, 2004. "Detecting Multiple Breaks in Time Series Covariance Structure: a Nonparametric Approach Based on the Evolutionary Spectral Density," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00272867, HAL.
  12. M. F. Omran, 1997. "Moment condition failure in stock returns: UK evidence," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 201-206.
  13. Dehay, Dominique & Leskow, Jacek, 1996. "Testing stationarity for stock market data," Economics Letters, Elsevier, vol. 50(2), pages 205-212, February.
  14. 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, vol. 16(1), pages 73-86.
  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. Los, Cornelis A., 1999. "Nonparametric testing of the high-frequency efficiency of the 1997 Asian foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 265-289, November.
  17. 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 WP2005-046, Boston University - Department of Economics.
  18. Atiq-ur-Rehman, 2011. "Impact of Model Specification Decisions on Unit Root Tests," International Econometric Review (IER), Econometric Research Association, vol. 3(2), pages 22-33, September.
  19. Straetmans, Stefan & Candelon, Bertrand, 2013. "Long-term asset tail risks in developed and emerging markets," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1832-1844.
  20. 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.
  21. Kerry W. Fendick, 2013. "Pricing and Hedging Derivative Securities with Unknown Local Volatilities," Papers 1309.6164, arXiv.org, revised Oct 2013.
  22. Van Bellegem, Sebastien & von Sachs, Rainer, 2004. "Forecasting economic time series with unconditional time-varying variance," International Journal of Forecasting, Elsevier, vol. 20(4), pages 611-627.
  23. West, K.D. & Cho, D., 1993. "The Predictive Ability of Several Models of Exchange Rate Volatility," Working papers 9317, Wisconsin Madison - Social Systems.
  24. Paulo M. M. Rodrigues & Antonio Rubia, 2011. "The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(4), pages 449-468, 08.
  25. Candelon, Bertrand & Straetmans, Stefan, 2006. "Testing for multiple regimes in the tail behavior of emerging currency returns," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1187-1205, November.
  26. Cornelis A. Los, 2004. "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance 0409033, EconWPA.
  27. Lyócsa, Štefan & Baumöhl, Eduard, 2012. "Testing the covariance stationarity of CEE stocks," MPRA Paper 43432, University Library of Munich, Germany.
  28. Domian, Dale L. & Louton, David A., 1995. "Business cycle asymmetry and the stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(4), pages 451-466.
  29. Chen, Bin & Song, Zhaogang, 2013. "Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach," Journal of Econometrics, Elsevier, vol. 173(1), pages 83-107.
  30. repec:ebl:ecbull:v:3:y:2003:i:32:p:1-7 is not listed on IDEAS
  31. 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.
  32. O. Beelders, 2003. "An investigation of the unconditional distribution of South African stock index returns," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 623-633.
  33. 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, vol. 6(2), pages 225-239.
  34. Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, 06.
  35. Zhijie Xiao & Luiz Renato Lima, 2007. "Testing Covariance Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 643-667.
  36. 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.
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