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A fluctuation test for constant correlation

Wied, Dominik; Arnold, Matthias - 2009

Persistent link: https://www.econbiz.de/10008811389

Testing mean stationarity of intraday volatility curves

Andersen, Torben; Tan, Yingwen; Todorov, Viktor; Zhang, … - In: Quantitative economics : QE ; journal of the … 16 (2025) 3, pp. 1059-1091

test size and power, we establish a functional invariance principle for semimartingales under a strong mixing condition …

Persistent link: https://www.econbiz.de/10015460599

A modified Wilcoxon test for change points in long-range dependent time series

Wenger, Kai Rouven; Less, Vivien - In: Economics letters 192 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012508757

Local Structural Trend Break in Stationarity Testing

Skrobotov, Anton - 2013

In a recently publicized study, Harvey et al. (2012) investigated procedures for unit root testing employing break detection methods under local break in trend. We apply this methodology to analyze asymptotic and nite sample behavior of procedures under local break to test the stationarity null...

Persistent link: https://www.econbiz.de/10013072780

A parametric stationarity test with smooth breaks

Tsong, Ching-Chuan; Lee, Cheng-Feng; Tsai, Li Ju - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10012054883

A panel stationarity test with gradual structural shifts : re-investigate the international commodity price shocks

Nazlıoğlu, Şaban; Karul, Cagin - In: Economic modelling 61 (2017), pp. 181-192

Persistent link: https://www.econbiz.de/10011736829

Stationarity of Asian real exchange rates : an empirical application of multiple testing to nonstationary panels with a structural break

Matsuki, Takashi; Sugimoto, Kimiko - In: Economic modelling 34 (2013), pp. 52-58

Persistent link: https://www.econbiz.de/10010360616

Copula based multivariate semi-Markov models with applications in high-frequency finance

D'Amico, Guglielmo; Petroni, Filippo - In: European journal of operational research : EJOR 267 (2018) 2, pp. 765-777

Persistent link: https://www.econbiz.de/10011812746

An empirical test of purchasing power parity for CASSH and BRICS countries : panel stationary test with both smooth and sharp breaks

Wu, Tsung-Pao - In: The empirical economics letters : a monthly … 15 (2016) 8, pp. 767-778

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Income convergence in African countries : evidence from a stationary test with multiple structural breaks

Ranjbar, Omid; Lee, Chien-Chiang; Chang, Tsangyao; … - In: The South African journal of economics 82 (2014) 3, pp. 371-391

Persistent link: https://www.econbiz.de/10010502194