All Outputs (11)

Tests for equal forecast accuracy under heteroskedasticity (2024)
Journal Article

Heteroskedasticity is a common feature in empirical time series analysis, and in this paper, we consider the effects of heteroskedasticity on statistical tests for equal forecast accuracy. In such a context, we propose two new Diebold–Mariano-type te... Read More about Tests for equal forecast accuracy under heteroskedasticity.

Estimation of the variance function in structural break autoregressive models with nonstationary and explosive segments (2022)
Journal Article

In this paper we consider estimating the innovation variance function when the conditional mean model is characterized by a structural break autoregressive model, which exhibits multiple unit root, explosive and stationary collapse segments, allowing... Read More about Estimation of the variance function in structural break autoregressive models with nonstationary and explosive segments.

CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility (2021)
Journal Article

We generalise the Homm and Breitung (2012) CUSUM-based procedure for the real-time detection of explosive autoregressive episodes in financial price data to allow for time-varying volatility. Such behaviour can heavily inflate the false positive rate... Read More about CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility.

Adaptive Testing for Cointegration With Nonstationary Volatility (2021)
Journal Article

This article develops a class of adaptive cointegration tests for multivariate time series with nonstationary volatility. Persistent changes in the innovation variance matrix of a vector autoregressive model lead to size distortions in conventional c... Read More about Adaptive Testing for Cointegration With Nonstationary Volatility.

Sign-based Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministically Time-Varying Volatility (2019)
Journal Article

This paper considers the problem of testing for an explosive bubble in …nancial data in the presence of time-varying volatility. We propose a sign-based variant of the Phillips, Shi and Yu (2015) test. Unlike the original test, the sign-based test do... Read More about Sign-based Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministically Time-Varying Volatility.

Testing explosive bubbles with time-varying volatility (2018)
Journal Article

This paper considers the problem of testing for an explosive bubble in financial data in the presence of time-varying volatility. We propose a weighted least squares-based variant of the Phillips, Wu and Yu (2011) test for explosive autoregressive be... Read More about Testing explosive bubbles with time-varying volatility.

Adaptive wild bootstrap tests for a unit root with non-stationary volatility (2018)
Journal Article

© 2017 The Authors. The Econometrics Journal published by John Wiley & Sons Ltd on behalf of Royal Economic Society. Recent research has emphasized that permanent changes in the innovation variance (caused by structural shifts or an integrated vola... Read More about Adaptive wild bootstrap tests for a unit root with non-stationary volatility.

Consistent nonparametric specification tests for stochastic volatility models based on the return distribution (2017)
Journal Article

© 2016 Elsevier Ltd This paper develops nonparametric specification tests for stochastic volatility models by comparing the nonparametically estimated return density and distribution functions with their parametric counterparts. Asymptotic null distr... Read More about Consistent nonparametric specification tests for stochastic volatility models based on the return distribution.

A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise (2015)
Journal Article

© 2015 by the author; licensee MDPI, Basel, Switzerland. This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observatio... Read More about A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise.

Nonparametric specification tests for stochastic volatility models based on volatility density (2015)
Journal Article

© 2015 Elsevier B.V. This paper develops a specification test for stochastic volatility models by comparing the nonparametric kernel deconvolution density estimator of an integrated volatility density with its parametric counterpart. L2 distance is u... Read More about Nonparametric specification tests for stochastic volatility models based on volatility density.

Estimating spot volatility with high-frequency financial data (2014)
Journal Article

We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the scale... Read More about Estimating spot volatility with high-frequency financial data.