Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations
From MaRDI portal
Publication:5252809
DOI10.1080/03610918.2013.765469zbMath1314.62188OpenAlexW2062731449MaRDI QIDQ5252809
Publication date: 3 June 2015
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2013.765469
Cites Work
- Tests of stationarity against a change in persistence
- Testing for a break in persistence under long-range dependencies
- Testing for a change in persistence in the presence of non-stationary volatility
- Detecting changes from short to long memory
- Bootstrap testing multiple changes in persistence for a heavy-tailed sequence
- Monitoring persistence change in infinite variance observations
- Subsampling change-point detection in persistence with heavy-tailed innovations
- Monitoring change in persistence in linear time series
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Asymptotic inference in time series regressions with a unit root and infinite variance errors
- Persistence change tests and shifting stable autoregressions
- Detection of change in persistence of a linear time series
- Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
- Tests for a change in persistence against the null of difference‐stationarity
- Subsampling the mean of heavy‐tailed dependent observations
- Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations
- CUSUM of Squares‐Based Tests for a Change in Persistence
This page was built for publication: Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations
