We propose semi-parametric CUSUM tests to detect a change point in the correlation structures of non--linear multivariate models with dynamically evolving volatilities. The asymptotic distributions of the proposed statistics are derived under mild conditions. We discuss the applicability of our...

This paper investigates volatility switching in the Shanghai Stock Exchange (SSE hereafter,) using several recently developed techniques. They can be categorized into CUSUM type tests and Markov-Switching ARCH models. By detecting and dating switches with these models, we are able to show the...

The Chinese Stock market had a special feature up to 2001 in that the stocks trading was segmented according to the type of investor (domestic and foreign). Since companies can issue both A shares (for domestic residents) and B shares (foreign investors) and the legal status of these shares are...

In this paper we discuss the finite sample behavior of the KPSS test in the presence of conditionally heteroskedastic errors. We confirm that under stationary GARCH errors the asymptotics of the KPSS remains valid. However, in finite samples we observe a slight size distortion and a power...

In this paper we discuss the finite sample behavior of the KPSS test in the presence of conditionally heteroskedastic errors. We confirm that under stationary GARCH errors the asymptotics of the KPSS remains valid. However, in finite samples we observe a slight size distortion and a power...

This article aims at investigating the relevant aspects of international law and cooperation in the field of renewable energy. Part I provides an overview of the multiple soft law developments within and outside the UN framework as well as an assessment of a chosen set of extant treaty...

This paper aims to shed new light on ”law of one-price” in the United States’ gasoline market over the period June-2003-December-2019. Specifically, we test for convergence of the retail prices of gasoline in di↵erent US PADDs, states and cities using the Local Whittle estimator (LW) and...