Testing for a slowly changing level with special reference to stochastic volatility

DOI10.1016/S0304-4076(98)00012-8zbMath0944.62096OpenAlexW1989782927WikidataQ127356935 ScholiaQ127356935MaRDI QIDQ1305654

V. Pereyra

Publication date: 24 September 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00012-8

zbMATH Keywords

serial correlationexchange ratesfinancial time serieslocally best invariant testCramer-von Mises distributionGARCH-modelunobserved componnents

Mathematics Subject Classification ID

Related Items (2)

Tests of strict stationarity based on quantile indicators ⋮ On markov chain monte carlo methods for nonlinear and non-gaussian state-space models

Uses Software

• STAMP

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• A point optimal test for autoregressive disturbances
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Generalized autoregressive conditional heteroscedasticity
• Testing for a Serially Correlated Component in Regression Disturbances
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• Testing for Deterministic Linear Trend in Time Series
• Tests for Deterministic Versus Indeterministic Cycles
• Multivariate Stochastic Variance Models

This page was built for publication: Testing for a slowly changing level with special reference to stochastic volatility