Browsing Τμήμα Οικονομικών / Department of Economics by Subject "GARCH"
Now showing items 1-2 of 2
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Article
The impact of sampling frequency and volatility estimators on change-point tests
(2004)The article evaluates the performance of several recently proposed change-point tests applied to conditional variance dynamics and conditional distributions of asset returns. These are CUSUM-type tests for ß-mixing processes ...
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Article
Monitoring disruptions in financial markets
(2006)We study historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes. These tests are used to monitor the conditional variance of asset returns and to provide real-time information regarding ...