Questions tagged [stationarity]
The stationarity tag has no usage guidance.
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What is a stationary process?
How do you explain what a stationary process is? In the first place, what is meant by process, and then what does the process have to be like so it can be called stationary?
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How to check if a timeseries is stationary?
I'm using KPSS Method to check if the series is stationary, but I would also like to use another test to confirm if the series is stationary or not, what method coudl I use?
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Ornstein versus AR(1) for modeling stationary data
I've come across several posts regarding parameter estimation for O-U models given some stationary data (say, some sort of mean reverting spread), but I can't seem to find an answer as to why modeling ...
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Estimate covariance matrix using prices
We generally estimate the covariance matrix of assets using their returns instead of prices. Why is that the case?
I can think of two possible reasons and would appreciate comments/feedback regarding ...
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Why non-stationary data cannot be analyzed?
Searching online, i found out that non-stationary cannot be analyzed with traditional econometric techniques as in case of non-stationarity some basic model assupmtions are not met and correct ...
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Transforming a time series
I have a time series that displays time varying volatility how would I take this time series an turn it into a more stationary process
this is what the time series looks like , if one can provide r ...
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Squared and Absolute Returns
I've always wondered why do one use squared or absolute returns to determine if volatility modeling is required for the return series? We understand that there are various tests for its ...
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Pairs Trading - isn't any spread stationary if your rolling lin-reg window is small enough?
I have a set of 7 assets, and I have run an ADF test on all possible pair-spreads to find possible pair strategies. I am creating the spreads using a rolling window in which I run linear regression to ...