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Testing stationarity under a permanent variance shift

Cavaliere, Giuseppe - In: Economics letters 82 (2004) 3, pp. 403-408

Persistent link: https://www.econbiz.de/10001938525

Stationarity tests under time-varying second moments

Cavaliere, Giuseppe; Taylor, Robert - 2004

Persistent link: https://www.econbiz.de/10002379273

Specification Tests for GARCH Processes

Cavaliere, Giuseppe; Perera, Indeewara; Rahbek, Anders - 2021

This paper develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space. The test statistics considered are of Kolmogorov-Smirnov and Cramér-von Mises type, and are based on a certain...

Persistent link: https://www.econbiz.de/10013225521

A note on testing covariance stationarity

Cavaliere, Giuseppe; Taylor, Robert - In: Econometric reviews 28 (2009) 4, pp. 364-371

Persistent link: https://www.econbiz.de/10003864024

Testing for a change in persistence in the presence of non-stationary volatility

Cavaliere, Giuseppe; Taylor, Robert - In: Journal of econometrics 147 (2008) 1, pp. 84-98

Persistent link: https://www.econbiz.de/10003783787

Testing for a change in persistence in the presence of a volatility shift

Cavaliere, Giuseppe; Taylor, Robert - In: Oxford bulletin of economics and statistics 68 (2006), pp. 761-781

Persistent link: https://www.econbiz.de/10003393459

Stationarity tests under time-varying second moments

Cavaliere, Giuseppe; Taylor, Robert - In: Econometric theory 21 (2005) 6, pp. 1112-1129

Persistent link: https://www.econbiz.de/10003193565

Specification tests for GARCH processes

Cavaliere, Giuseppe; Perera, Indeewara; Rahbek, Anders - 2021

Persistent link: https://www.econbiz.de/10012627489

Specification tests for GARCH processes with nuisance parameters on the boundary

Cavaliere, Giuseppe; Perera, Indeewara; Rahbek, Anders - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 197-214

Persistent link: https://www.econbiz.de/10014449910