Powerful tests for structural changes in volatility

DOI10.1016/j.jeconom.2012.11.001zbMath1443.62374OpenAlexW3123022612MaRDI QIDQ528175

Ke-Li Xu

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612002473

zbMATH Keywords

LM testCUSUM testnonstationary volatilitynonparametric volatility estimationvolatility break

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sequential statistical analysis (62L10)

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