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A Nonparametric Test for I(0)

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References

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1998Real and Spurious Long-Memory Properties of Stock-Market Data327 cited
2004Modelling structural breaks, long memory and stock market volatility: an overview221 cited
2000Long Memory in Stock-Market Trading Volume215 cited
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2001Semiparametric fractional cointegration analysis164 cited
2006On discriminating between long-range dependence and changes in mean

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160 cited

1999A semiparametric two-step estimator in a multivariate long memory model132 cited

2002Microeconomic Models for Long Memory in the Volatility of Financial Time Series125 cited

2009Fractional Integration and Cointegration: An Overview and an Empirical Application124 cited

2000Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data124 cited

2004Structural change and long-range dependence in volatility of exchange rates: either, neither or both?115 cited

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2002This is what the leading indicators lead69 cited

2011A simple test of changes in mean in the possible presence of long-range dependence64 cited