Title of article
Testing stationarity for stock market data
Author/Authors
D. Dehay، نويسنده , , Dominique; Leskow، نويسنده , , Jacek ، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1996
Pages
8
From page
205
To page
212
Abstract
Numerous examples in recent research on the volatility of asset returns show that the data frequently show a lack of covariance stationarity. This paper introduces a general method of testing stock market data for covariance stationarity. The test presented is based on the result of Dehay and Le
Keywords
Test of stationarity , GARCH model , Volatility
Journal title
Economics Letters
Serial Year
1996
Journal title
Economics Letters
Record number
434053
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