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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

Tests for equal forecast accuracy under heteroskedasticity

Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Journal of applied econometrics 39 (2024) 5, pp. 850-869

Persistent link: https://www.econbiz.de/10015156787

Essays on nonparametric econometrics of stochastic volatility

Zu, Yang - 2012

Persistent link: https://www.econbiz.de/10009713426

Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility

Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Econometric theory 36 (2020) 1, pp. 122-169

Persistent link: https://www.econbiz.de/10012156819

Testing explosive bubbles with time-varying volatility

Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Econometric reviews 38 (2019) 10, pp. 1131-1151

Persistent link: https://www.econbiz.de/10012181398

CUSUM-based monitoring for explosive episodes in financial data in the presence of time-varying volatility

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Journal of financial econometrics 21 (2023) 1, pp. 187-227

Persistent link: https://www.econbiz.de/10013542862

Identifiability of cointegrated systems

Boswijk, Herman Peter - 1995

Persistent link: https://www.econbiz.de/10000909278

Mixed normality and ancillarity in (2) systems

Boswijk, Herman Peter - 1996

Persistent link: https://www.econbiz.de/10000942649

Block local to unity and continous record asymptotics

Boswijk, Herman Peter - 2001

Persistent link: https://www.econbiz.de/10001616911

Testing for a unit root with near-integrated volatility

Boswijk, Herman Peter - 2001 - Rev.

This paper considers tests for a unit root when the innovations follow a near-integrated GARCH process. We compare the asymptotic properties of the likelihoodratio statistic with that of the least-squares based Dickey-Fuller statistic. We first useasymptotics where the GARCH variance process is...

Persistent link: https://www.econbiz.de/10011317451