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Specification and structural break tests for additive models with applications to realized variance data

Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218

Persistent link: https://www.econbiz.de/10011500308

The great moderation : updated evidence with joint tests for multiple structural changes in variance and persistence

Perron, Pierre; Yamamoto, Yohei - In: Empirical economics : a quarterly journal of the … 62 (2022) 3, pp. 1193-1218

Persistent link: https://www.econbiz.de/10012819527

Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of financial econometrics 21 (2023) 5, pp. 1443-1482

Persistent link: https://www.econbiz.de/10014444685

Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10011327543

Consistent nonparametric specification tests for stochastic volatility models based on the return distribution

Zu, Yang; Boswijk, Herman Peter - In: Journal of empirical finance 41 (2017), pp. 53-75

Persistent link: https://www.econbiz.de/10011746959

Nonparametric tests for jump detection via false discovery rate control : a Monte Carlo study

Li, Kaiqiao; He, Kan; Nie, Lizhou; Zhu, Wei; Kuan, Pei Fen - In: The journal of risk model validation 13 (2019) 3, pp. 23-44

Persistent link: https://www.econbiz.de/10012140256

A CUSUM test for a long memory heterogeneous autoregressive model

Hwang, Eunju; Shin, Dong-wan - In: Economics letters 121 (2013) 3, pp. 379-383

Persistent link: https://www.econbiz.de/10010392170

Testing the Prebisch–Singer hypothesis since 1650 : evidence from panel techniques that allow for multiple breaks

Arezki, Rabah; Hadri, Kaddour; Loungani, Prakash; Rao, Yao - In: Journal of international money and finance 42 (2014), pp. 208-223

Persistent link: https://www.econbiz.de/10010372665

Robust inference under time-varying volatility : a real-time evaluation of professional forecasters

Demetrescu, Matei; Hanck, Christoph; Kruse-Becher, Robinson - In: Journal of applied econometrics 37 (2022) 5, pp. 1010-1030

Persistent link: https://www.econbiz.de/10013464645

Apparent long memory in time series as an artifact of a time-varying mean : considering alternatives to the fractionally integrated model

Ashley, Richard A.; Patterson, Douglas M. - In: Macroeconomic dynamics 14 (2010), pp. 59-87

Persistent link: https://www.econbiz.de/10003981216