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DETECTING MULTIPLE BREAKS IN FINANCIAL MARKET VOLATILITY DYNAMICS.

DETECTING MULTIPLE BREAKS IN FINANCIAL MARKET VOLATILITY DYNAMICS.

Authors :
Andreou, Elena
Ghysels, Eric
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.

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