Periodic Asymmetric LogGARCH Stochastic Volatility Models: Structure and Application
AxiomsThis paper introduces a new class of periodic volatility models, namely, the Stochastic Volatility Periodic Logarithmic Asymmetric GARCH (PlogAG-SV) model.
Omar Alzeley, Ahmed Ghezal
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A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence [PDF]
This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance.
Hadri, Kaddour, Kurozumi, Eiji
core
Is the influence of quality of life on urban growth non-stationary in space? A case study of Barcelona [PDF]
There are several determinants that influence household location decisions. More concretely, recent economic literature assigns an increasingly important role to the variables governing quality of life.
Esther Vaya +2 more
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Stationarity and Ergodicity [PDF]
, 2009 In computing time averages of optical fields, we regard the ensembles to be stationary and ergodic. Stationarity means that all ensemble averages are independent of the time origin; and ergodicity implies that each ensemble average is equal to the time average involving a typical member of the ensemble.
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A likelihood ratio test for stationarity of rating transitions [PDF]
For a time-continuous discrete-state Markov process as model for rating transitions, we study the time-stationarity by means of a likelihood ratio test. For multiple Markov process data from a multiplicative intensity model, maximum likelihood parameter ...
Walter, Ronja, Weißbach, Rafael
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On Detecting Degenerate Stationarity
Journal of Optimization Theory and ApplicationszbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study [PDF]
This paper presents results concerning the size and power of first generation panel unit root and stationarity tests obtained from a large scale simulation study, with in total about 290 million test statistics computed.
Jaroslava Hlouskova, Martin Wagner
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Strict stationarity testing and estimation of explosive ARCH models [PDF]
This paper studies the asymptotic properties of the quasi-maximum likelihood estimator of ARCH(1) models without strict stationarity constraints, and considers applications to testing problems.
Francq, Christian, Zakoian, Jean-Michel
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Dynamic stability of climate-growth relationships in <i>Picea crassifolia</i> in the Qilian Mountains: the modulating role of elevation gradient and time-varying characteristics. [PDF]
Front Plant SciZhao J +11 more
europepmc +1 more source