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Multiple testing for no cointegration under nonstationary volatility

Demetrescu, Matei; Hanck, Christoph - In: Oxford bulletin of economics and statistics 80 (2018) 3, pp. 485-513

Persistent link: https://www.econbiz.de/10011969530

Testing for single bubble episode in the Nigerian stock market : an empirical investigation

Iliyasu, Jamilu; Saba, Ndayezhin D. - In: CBN journal of applied statistics 10 (2019) 1, pp. 29-49

This study evaluates a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggests non-existence...

Persistent link: https://www.econbiz.de/10012178349

Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall

Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - In: Journal of risk 25 (2022) 2, pp. 75-105

Persistent link: https://www.econbiz.de/10014342468

Weak identification of long memory with implications for inference

Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022

Persistent link: https://www.econbiz.de/10013326614

A CUSUM test for a long memory heterogeneous autoregressive model

Hwang, Eunju; Shin, Dong-wan - In: Economics letters 121 (2013) 3, pp. 379-383

Persistent link: https://www.econbiz.de/10010392170

Discriminating between GARCH and stochastic volatility via nonnested hypotheses testing

Messow, Philip - 2013

Persistent link: https://www.econbiz.de/10009793512

Comparing predictive accuracy under long memory : with an application to volatility forecasting

Kruse, Robinson; Leschinski, Christian; Will, Michael - 2016

This paper extends the popular Diebold-Mariano test to situations when the forecast error loss differential exhibits long memory. It is shown that this situation can arise frequently, since long memory can be transmitted from forecasts and the forecast objective to forecast error loss...

Persistent link: https://www.econbiz.de/10011430242

Specification and structural break tests for additive models with applications to realized variance data

Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218

Persistent link: https://www.econbiz.de/10011500308

Testing constancy of unconditional variance in volatility models by misspecification and specification tests

Silvennoinen, Annastiina; Teräsvirta, Timo - 2015

Persistent link: https://www.econbiz.de/10011373232

Assessment of volatility using exponential generalized autoregressive conditional heteroscedastic model in BSE stock market

Kundu, Amit - In: The Indian journal of economics 97 (2017) 387, pp. 589-605

Persistent link: https://www.econbiz.de/10011991586