Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets

C-Tier

Journal: Journal of Empirical Finance

Year: 1994

Volume: 1

Issue: 2

Pages: 211-248

Authors (2)

Loretan, Mico (not in RePEc) Phillips, Peter C. B. (Singapore Management Universit...)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count