Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density

Abstract

This paper proposes two non parametric tests for stationarity and white noise against the alternative of time-varying covariance structure with an application to euro/US dollar exchange rate. These tests are based on stability of evolutionary spectral density of the process. Graphical methods using the size and power, confirm the efficiency of our approach when compared with other stationarity tests, especially when data are non stationary with an approximately constant variance.