Πλοήγηση Τμήμα Οικονομικών / Department of Economics ανά Θέμα "Kolmogorov-Smirnov"
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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 ...