Testing for covariance stationarity of stock returns in the presence of structural breaks: An intervention analysis

Applied Economics Letters

Volumn 9, Issue 7, 2002, Pages 441-447

  Ho, Ada K F ^a   Wan, Alan T K ^a  

^a CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

COVARIANCE ANALYSIS; METHODOLOGY; STOCK MARKET; TESTING METHOD;

EID: 0036078155     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850110090210     Document Type: Article

References (8)

1. Estimation and inference in nonlinear structural models
2. Intervention analysis with applications to economic and environmental problems
3. On some simple estimates of an exponent of regular variation
4. A simple general approach to inference about the tail of a distribution
5. Testing the covariance stationarity of heavy-tailed time series
6. Testing for covariance stationarity in the UK all-equity returns
7. Testing for covariance stationarity in stock market data