References
- Abhyankar , A. , Copeland , L. S. and Wong , W. Nonlinear dynamics in real-time equity market indices: evidence from the UK . Society of Economic Dynamics and Control Annual Conference . UCLA .
- Hall , P. 1982 . On some simple estimates of an exponent of regular variation . Journal of the Royal Statistical Society , 44 : 37 – 42 . Series B
- Jansen , D. W. and de Vries , C. G. 1991 . On the frequency of large stock returns: putting booms and busts into perspective . Review of Economics and Statistics , 73 : 18 – 24 .
- Loretan , M. and Phillips , P. C. B. 1994 . Testing the covariance stationarity of heavy-tailed time series: an overview of the theory with applications to several financial datasets . Journal of Empirical Finance , : 211 – 248 .
- Mayfield , E. S. and Mizrach , B. 1989 . On Determining the Dimension of Real Time Stock Price Data , MA : Boston College . Working Paper
- Pagan , A. R. and Schwert , G. W. 1990 . Testing for covariance stationarity in stock market data . Economics Letters , 33 : 165 – 170 .
- Phillips , P. C. B. and Loretan , M. 1990 . Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns , Cowles Foundation Discussion Paper No 947 Yale University .