We develop a test for mean stationarity of latent volatility curves using high-frequency data. To derive the asymptotic test size and power, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties are analyzed under alternatives...

The implications of digital finance for financial stability has come under serious scrutiny since the aftermath of the 2008 global financial crisis (GFC). Empirical evidence on this nexus are somewhat inconsistent and ambiguous. This study therefore attributes this puzzle to multiple structural...

This paper analyzes possibly time-varying shock transmission in structural vector autoregressive (VAR) models when the reduced-form VAR coefficients are time-invariant and the shocks are identified through non-Gaussianity. To check for possible time-variation in the impulse responses, we propose...

This study models volatility in the daily Nigeria Stock Exchange 30 index from Jan- uary 30, 2012 to August 31, 2020, comparing the Modified Iterated Cumulative Sums of Squares (MICSS) and the traditional cumulative sum of squares (CUSUMSQ) ap- proaches. Findings reveal that integrating...

This study examined the structural breakdowns and co-movements of Bitcoin (BTC) and Ethereum (ETH) cryptocurrencies from the onset of the COVID-19 pandemic. The Bai-Perron test was used to determine the change in the mean and variance of the two principal actors regarding market capitalization...