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The Real Time Monitoring Test for Realized Volatility

https://doi.org/10.2139/ssrn.2313231
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-1-4419-0320-4_1openalex-extracted
Stationary Time Series
inferredcites →https://doi.org/10.1007/s10463-006-0074-4openalex-extracted
Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
inferredcites →https://doi.org/10.1016/0304-4076(94)01687-9openalex-extracted
Testing for structural change in a long-memory environment
inferredcites →https://doi.org/10.1016/0304-4076(95)01732-1openalex-extracted
Long memory processes and fractional integration in econometrics
inferredcites →https://doi.org/10.1016/0304-4076(95)01741-0openalex-extracted
On the power of the KPSS test of stationarity against fractionally-integrated alternatives
inferredcites →https://doi.org/10.1016/j.jempfin.2003.03.001openalex-extracted
Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns
inferredcites →https://doi.org/10.1016/j.jimonfin.2009.12.001openalex-extracted
Long memory versus structural breaks in modeling and forecasting realized volatility
inferredcites →https://doi.org/10.1080/01621459.1994.10476824openalex-extracted
Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
inferredcites →https://doi.org/10.1080/07350015.1993.10509936openalex-extracted
A Fractional Cointegration Analysis of Purchasing Power Parity
inferredcites →https://doi.org/10.1093/biomet/83.3.627openalex-extracted
Testing for a change of the long-memory parameter
inferredcites →https://doi.org/10.1111/1467-9892.00117openalex-extracted
Change‐Point Estimation of Fractionally Integrated Processes
inferredcites →https://doi.org/10.1111/j.2517-6161.1975.tb01532.xopenalex-extracted
Techniques for Testing the Constancy of Regression Relationships Over Time
inferredcites →https://doi.org/10.1214/aos/1176342709openalex-extracted
Consistent Autoregressive Spectral Estimates
inferredcites →https://doi.org/10.2139/ssrn.376382openalex-extracted
A Convergent T-Statistic in Spurious Regressions
inferredcites →https://doi.org/10.2307/2171955openalex-extracted
Monitoring Structural Change
inferredcites →https://doi.org/10.2307/2951764openalex-extracted
Tests for Parameter Instability and Structural Change With Unknown Change Point
inferredcites →https://doi.org/10.1111/j.1467-9892.1994.tb00204.xopenalex-snapshot
LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
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