Powerful tests for structural changes in volatility
type: Item
instance of: scholarly article
title: Powerful tests for structural changes in volatility
zbMATH Open document ID: 1443.62374
author: Ke-Li Xu
published in: Journal of Econometrics
publication date: 2017-05-12T00:00:00Z
full work available at URL: S0304407612002473
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 62L10
zbMATH DE Number: 6714826
zbMATH Keywords: CUSUM test
zbMATH Keywords: LM test
zbMATH Keywords: nonparametric volatility estimation
zbMATH Keywords: nonstationary volatility
zbMATH Keywords: volatility break
MaRDI profile type: Publication
OpenAlex ID: W3123022612
cites work: Strong rules for detecting the number of breaks in a time series
cites work: Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
cites work: Tests for Parameter Instability and Structural Change With Unknown Change Point
cites work: Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
cites work: SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
cites work: MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
cites work: Unit Root Tests under Time-Varying Variances
cites work: Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
cites work: Detecting parameter shift in garch models
cites work: Monitoring Structural Change
cites work: Nonmonotonic power for tests of a mean shift in a time series§
cites work: A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
cites work: THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
cites work: Modeling volatility persistence of speculative returns: a new approach
cites work: A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS
cites work: Nonlinear time series. Nonparametric and parametric methods
cites work: Generalized likelihood ratio statistics and Wilks phenomenon
cites work: Bandwidth Selection in Nonparametric Kernel Testing
cites work: Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
cites work: UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
cites work: Neglecting parameter changes in GARCH models
cites work: Q3409059
cites work: Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
cites work: Q4807340
cites work: A nonparametric test for changing trends
cites work: Tests for changing mean with monotonic power
cites work: Testing for parameter changes in ARCH models
cites work: Change-point estimation in ARCH models
cites work: The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
cites work: Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters
cites work: Q4818530
cites work: Evaluating GARCH models.
cites work: A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
cites work: Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
cites work: Predictability of stock returns and asset allocation under structural breaks
cites work: The Cusum Test with Ols Residuals
cites work: Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
cites work: Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting
cites work: Fixed‐banalysis of LM‐type tests for a shift in mean
DOI: 10.1016/J.JECONOM.2012.11.001
description: scientific article; zbMATH DE number 6714826