Testing covariance stationarity under moment condition failure with an application to common stock returns

Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets

Loretan, Mico, (1994)

The Durbin-Watson ratio under infinite-variance errors

Phillips, Peter C. B., (1991)

Testing the covariance stationarity of heavy-tailed time series : an overview of the theory with applications to several financial datasets

Loretan, Mico, (1994)