Testing for changing volatility

DOI10.1111/ectj.12108OpenAlexW2771020782MaRDI QIDQ5084375

Zhijie Xiao, Jilin Wu

Publication date: 24 June 2022

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

Full work available at URL: https://doi.org/10.1111/ectj.12108

zbMATH Keywords

cross-validationnonparametricU-statisticvolatility changes

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Testing for structural changes in linear regressions with time-varying variance ⋮ Testing for Trend Specifications in Panel Data Models ⋮ Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets

This page was built for publication: Testing for changing volatility