Back to Search
Start Over
DETECTING MULTIPLE BREAKS IN FINANCIAL MARKET VOLATILITY DYNAMICS.
DETECTING MULTIPLE BREAKS IN FINANCIAL MARKET VOLATILITY DYNAMICS.
- Source :
- Journal of Applied Econometrics; Sep/Oct2002, Vol. 17 Issue 5, p579-600, 22p, 10 Charts
- Publication Year :
- 2002
-
Abstract
- Evaluates the performance of proposed tests for structural breaks in the conditional variance dynamics of asset returns. Use of high-frequency data; Identification of the number and location of multiple breaks; Size and power of the tests for detecting breaks in the conditional variance.
- Subjects :
- ANALYSIS of variance
RATE of return
Subjects
Details
- Language :
- English
- ISSN :
- 08837252
- Volume :
- 17
- Issue :
- 5
- Database :
- Complementary Index
- Journal :
- Journal of Applied Econometrics
- Publication Type :
- Academic Journal
- Accession number :
- 8571873
- Full Text :
- https://doi.org/10.1002/jae.684