We revisit classical asymptotics when testing for a structural break in linear regression models by obtaining the limit theory of residual-based and Wald-type processes. First, we establish the Brownian bridge limiting distribution of these test statistics. Second, we study the asymptotic...

In this paper, we consider the forecast evaluation of realized volatility measures under cross-section dependence using equal predictive accuracy testing procedures. We evaluate the predictive accuracy of the model based on the augmented cross-section when forecasting Realized Volatility. Under...