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The Non‐Stationarity of Share Price Volatility
Accounting & Finance, 1986Abstract:This article examines first the changes over time in the variance of the market return on the Sydney Stock Exchange. It concludes that variance changes at a frequency greater than previously accounted for. Some of these changes coincide with political and economic events.
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TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES
Journal of Time Series Analysis, 1997This paper deals with the distributions evolving from the likelihood‐ratio test for the factor 1 −Bn in the lag polynomial Φ(B) under the basic assumption that the data series is generated by the autoregressive model Φ(B)Xt = εt where {εt} denotes Gaussian white noise.
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NON-STATIONARITY AS AN EMBEDDING PROBLEM
Space-Time Chaos: Characterization, Control and Synchronization, 2001Dejin Yu +2 more
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The curse of non-stationarity in applying stochastic models
1988Multi-dimensionality has been indicated by Bellmann as the most important factor making the use of dynamic programming models difficult: the curse of dimensionality.
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