The DOI matches its Crossref record; 28 of the 28 references it cites were found in a registry or an index.
Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Convergence of Probability Measures
Billingsley, P. (1999) · Wiley Series in Probability and Statistics · doi:10.1002/9780470316962 · Cited by 13,910
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Hamilton, J. D. (1989) · Econometrica · doi:10.2307/1912559 · Cited by 9,646
The Behavior of Stock-Market Prices
Fama, E. F. (1965) · The Journal of Business · doi:10.1086/294743 · Cited by 8,664
Convergence of Probability Measures
Kingman, J. F. C., & Billingsley, P. (1969) · Revue de l'Institut International de Statistique / Review of the International Statistical Institute · doi:10.2307/1402124 · Cited by 6,812
Long-Term Storage Capacity of Reservoirs
Hurst, H. E. (1951) · Transactions of the American Society of Civil Engineers · doi:10.1061/taceat.0006518 · Cited by 6,212
Techniques for Testing the Constancy of Regression Relationships Over Time
Brown, R. L., Durbin, J., & Evans, J. M. (1975) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1975.tb01532.x · Cited by 5,128
Cited by
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
ANDERSEN, T. G. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05206.x · Cited by 1,020
Scaling of the distribution of fluctuations of financial market indices
Gopikrishnan, P., Plerou, V., Nunes Amaral, L. A., Meyer, M., & Stanley, H. E. (1999) · Physical Review E · doi:10.1103/physreve.60.5305 · Cited by 892
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Volatilities of different time resolutions — Analyzing the dynamics of market components
Müller, U. A., Dacorogna, M. M., Davé, R. D., Olsen, R. B., Pictet, O. V., & von Weizsäcker, J. E. (1997) · Journal of Empirical Finance · doi:10.1016/s0927-5398(97)00007-8 · Cited by 744
Value-at-Risk Prediction: A Comparison of Alternative Strategies
Kuester, K. (2005) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbj002 · Cited by 632
Metadata
- Authors
- Loretan, M., & Phillips, P. C. B.
- Venue
- Journal of Empirical Finance
- Publisher
- Elsevier BV
- Published
- 1994-01
- Volume
- 1
- Issue
- 2
- Pages
- 211-248
- ISSN
- 0927-5398 (ISSN-L)
- OpenAlex
- W2056218466
- Cited by
- 516
- References
- 28
- FWCI
- 38.63
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets. https://app.cochat.ai/papers/10.1016/0927-5398(94)90004-3
- The paper
- Loretan, M., & 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. https://doi.org/10.1016/0927-5398(94)90004-3
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
