Shu Quan Lu

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The theme of instability or breaks in macroeconomic series has attracted considerable attention over the last several decades. There are a large number of tests for structural changes or the stability of parameters. We focus the review of unit-root tests, unit-root tests including possible structural breaks, and time-varying parameter literature. Unit-root(More)
Two stock markets exist in China: Shanghai Stock exchange and Shenzhen Stock exchange. Many investors want to know the behaviors of stock returns' volatilities. We use GARCH and SV models to estimate them. In order to do full and comprehensive analyses, we use most of the historical data and different data frequencies of the two Chinese markets. We find(More)
Time series data of economic activities are often subject to outliers or changes which include an external change, or a gradual shift in the mean of the series. This paper reviews the available literature on the panel unit root tests and outliers. We examine the returns of Chinese stock markets, and find the significant evidence of outliers in Chinese stock(More)
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