Nonstationarities in Stock Returns

By Ctlin Stric, Clive W. J. Granger. Review of Economics and Statistics, 2005

306 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8bfc94d79a02afea7bfa4f339a7972e0ec8cadb1

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Citations in the corpus

Volatility transmission between gold and oil futures under structural breaks (2013, background): “This is consistent with widespread evidence that variance in asset prices contain structural breaks (see Starica and Granger, 2005).”
LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION (2011, methodology): “A process with time-varying parameters, like those in Fancourt and Principe (1998), Mikosch and Stărică (2004), and Stărică and Granger (2005), is not necessarily locally stationary in the sense of Definition 2.1 of Dahlhaus (1997, 2000).”
Modeling and forecasting stock return volatility using a random level shift model (2010, methodology): “These results are in agreement with those of St˘ aric˘ a and Granger (2005).”
Nonparametric trending regression with cross-sectional dependence (2011, methodology): “For example, Starica and Granger (2005) employed this approach in modelling series of stock prices.”
Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2008, methodology): “The volatility structure in (2) was also used by Stărică et al. (2005) in the analysis of the dynamics of stock indexes—see also Stărică and Granger (2005).”
Detection of Multiple Structural Breaks in Multivariate Time Series (2013, background): “…et al. 2001 among many others), and one concept which became quite popular in the last decades is to assume that there is a certain (unknown) number of segments on which the process can be considered as stationary (see, e.g., Starica and Granger 2005 or Fryzlewicz, Sapatinas, and Subba Rao 2006).”
Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model (2014, background): “However, recent contributions to this literature have attempted to discriminate between long memory and structural changes in the volatility process (Diebold and Inoue, 2001; Stărică and Granger, 2005; Mikosch and Stărică, 2004; Perron and Qu, 2007, 2010).”
Locally Stationary Processes (2011, background): “Subba Rao (2006) has shown that one can represent the above as a state-space representation which almost surely has a unique solution which is the derivative of X̃t(u)(2) with respect to u.”
Measuring the frequency dynamics of financial connectedness and systemic risk (2015, unknown): “In essence, our approach is closely related to the one adopted by St˘aric˘a and Granger (2005), although we study a multivariate system with quite diﬀerent tools.”