Power monotonicity in detecting volatility levels change

DOI10.1016/j.econlet.2013.06.030zbMath1284.62530OpenAlexW2085019742MaRDI QIDQ2446476

Ke-Li Xu

Publication date: 17 April 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2013.06.030

zbMATH Keywords

LM teststructural changeCUSUM testvolatility modelsnon-monotonic powerIGARCH effect

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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• Robustifying multivariate trend tests to nonstationary volatility
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Generalized autoregressive conditional heteroscedasticity
• Modeling volatility persistence of speculative returns: a new approach
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
• THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

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