2 papers
stat.ME2026
Robust Nonparametric Testing for Structural Changes in Multivariate Volatility via Multiple Quantiles
Jilin Wu, Ruike Wu, Zhijie Xiao +1
We propose an omnibus nonparametric test for structural changes in the multivariate volatility matrix. The test aggregates bounded generalized quantile scores over a range of quant…
stat.ME2024
Adaptive LAD-Based Bootstrap Unit Root Tests under Unconditional Heteroskedasticity
Jilin Wu, Ruike Wu, Zhijie Xiao
This paper explores testing unit roots based on least absolute deviations (LAD) regression under unconditional heteroskedasticity. We first derive the asymptotic properties of the…