Li, Dong; Zhu, Ke Inference for asymmetric exponentially weighted moving average models. (English) Zbl 1456.62205 J. Time Ser. Anal. 41, No. 1, 154-162 (2020). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 62M10 62M20 62F03 62P20 93E12 62-08 PDFBibTeX XMLCite \textit{D. Li} and \textit{K. Zhu}, J. Time Ser. Anal. 41, No. 1, 154--162 (2020; Zbl 1456.62205) Full Text: DOI
Hamrick, Jeff; Taqqu, Murad S. Testing diffusion processes for non-stationarity. (English) Zbl 1173.91025 Math. Methods Oper. Res. 69, No. 3, 509-551 (2009). Reviewer: Elisa Alòs (Barcelona) MSC: 91B70 60G10 PDFBibTeX XMLCite \textit{J. Hamrick} and \textit{M. S. Taqqu}, Math. Methods Oper. Res. 69, No. 3, 509--551 (2009; Zbl 1173.91025) Full Text: DOI Link
Clémençon, Stéphan; Slim, Skander Statistical analysis of financial time series under the assumption of local stationarity. (English) Zbl 1409.62211 Quant. Finance 4, No. 2, 208-220 (2004). MSC: 62P05 62M10 91B84 62G05 PDFBibTeX XMLCite \textit{S. Clémençon} and \textit{S. Slim}, Quant. Finance 4, No. 2, 208--220 (2004; Zbl 1409.62211) Full Text: DOI
Leśkow, J. The impact of stationarity assessment on studies of volatility and value-at-risk. (English) Zbl 1090.91539 Math. Comput. Modelling 34, No. 9-11, 1213-1222 (2001). MSC: 91B28 62M10 62P05 PDFBibTeX XMLCite \textit{J. Leśkow}, Math. Comput. Modelling 34, No. 9--11, 1213--1222 (2001; Zbl 1090.91539) Full Text: DOI