Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets

Mico Loretan and Peter Phillips

Working papers from Wisconsin Madison - Social Systems

Keywords: statistical analysis; econometrics; economic models (search for similar items in EconPapers)
Pages: 62 pages
Date: 1992
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Journal Article: Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:att:wimass:9208

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