Powerful tests for structural changes in volatility
Year of publication: |
2013
|
---|---|
Authors: | Xu, Ke-Li |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 173.2013, 1, p. 126-142
|
Publisher: |
Elsevier |
Subject: | CUSUM test | LM test | Nonparametric volatility estimation | Nonstationary volatility | Volatility break |
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