Wied, Dominik; Arnold, Matthias; Bissantz, Nicolai; … - In: Metrika 75 (2012) 8, pp. 1111-1127
We present a test to determine whether variances of time series are constant over time. The test statistic is a suitably standardized maximum of cumulative first and second moments. We apply the test to time series of various assets and find that the test performs well in applications. Moreover,...