Tests for Breaks in the Conditional Co-movements of Asset Returns
Year of publication: |
2002-06-01
|
---|---|
Authors: | Andreou, Elena ; Ghysels, Eric |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | Change-point tests | multivariate GARCH models | conditional covariance | high-frequency financial data | Changement structurel | ARCH | corrélations conditionnelles | données de haute fréquence |
-
Test for Breaks in the Conditional Co-Movements of Asset Returns
Andreou, Elena, (2003)
-
Adams, Zeno, (2017)
-
Adams, Zeno, (2017)
- More ...
-
Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results
Andreou, Elena, (2000)
-
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests
Andreou, Elena, (2004)
-
Monitoring for Disruptions in Financial Markets
Andreou, Elena, (2004)
- More ...