Testing Covariance Stationarity

DOI10.1080/07474930701639080zbMath1126.62085OpenAlexW2065711155MaRDI QIDQ5436944

Luiz Renato Lima, Zhijie Xiao

Publication date: 18 January 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10438/12583

zbMATH Keywords

asymptotic theorytime-varying varianceKPSSstationarity testing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Monte Carlo methods (65C05)

Related Items

A Note on Testing Covariance Stationarity ⋮ A Test for Strict Stationarity ⋮ Monitoring procedures for strict stationarity based on the multivariate characteristic function

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