Ahamada, Ibrahim; Boutahar, Mohamed - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
Abrupt changes in the unconditional variance of returns have been recently revealed in many empirical studies. In this paper, we show that traditional KPSS-based tests have a low power against nonstationarities stemming from changes in the unconditional variance. More precisely, we show that...