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ArticleTesting for covariance stationarity in stock market data

A. R. Pagan1990

Article1990

Testing for covariance stationarity in stock market data

A. R. Pagan · G. William Schwert

111 citations·0/0 files stored·Economics Letters

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1987Time Series Regression with a Unit Root 1991Long-Term Memory in Stock Market Prices 1989Long-term Memory in Stock Market Prices 1990Alternative models for conditional stock volatility 1972Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis

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1995Regression with Nonstationary Volatility 199611 Nonlinear time series, complexity theory, and finance 1994The Predictive Ability of Several Models of Exchange Rate Volatility 2000Testing densities with financial data: an empirical comparison of the EdgeworthSargan density to the Students t 2007Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility 1998Nonlinearities and Nonstationarities in Stock Returns

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Details

Year1990

Typearticle

Published1990-06-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations111

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/0165-1765(90)90163-u

openalex_workW1987380341

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1997A threshold autoregressive analysis of stock returns and real economic activity

2011TESTING FOR THE MARKOV PROPERTY IN TIME SERIES