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dc.contributor.authorAndreou, Elenaen
dc.contributor.authorGhysels, Ericen
dc.creatorAndreou, Elenaen
dc.creatorGhysels, Ericen
dc.description.abstractWe propose procedures designed to uncover structural breaks in the co-movements of financial markets. A reduced form approach is introduced that can be considered as a two-stage method for reducing the dimensionality of multivariate heteroskedastic conditional volatility models through marginalization. The main advantage is that one can use returns normalized by volatility filters that are purely data-driven and construct general conditional covariance dynamic specifications. The main thrust of our procedure is to examine change-points in the co-movements of normalized returns. The tests allow for strong and weak dependent as well as leptokurtic processes. We document, using a ten year period of two representative high frequency FX series, that regression models with non-Gaussian errors adequately describe their co-movements. Change-points are detected in the conditional covariance of the DM/US$ and YN/US$ normalized returns over the decade 1986-1996.en
dc.sourceStatistica Sinicaen
dc.subjectChange-point testsen
dc.subjectConditional covarianceen
dc.subjectHigh-frequency financial dataen
dc.subjectMultivariate GARCH modelsen
dc.titleTests for breaks in the conditional co-movements of asset returnsen
dc.description.endingpage1073Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and ManagementΤμήμα Οικονομικών / Department of Economics

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