CUSUM-based monitoring for explosive episodes in financial data in the presence of time-varying volatility
Sam Astill, David I Harvey, Stephen J Leybourne, A.M. Robert Taylor and Yang Zu
| Year of publication: |
2023
|
|---|---|
| Authors: | Astill, Sam ; Harvey, David I. ; Leybourne, Stephen James ; Taylor, Robert ; Zu, Yang |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 1, p. 187-227
|
| Subject: | Volatilität | Volatility | Theorie | Theory | Börsenkurs | Share price | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbab009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013542862