Zumaquero, Amalia Morales; Rivero, Simón Sosvilla - Centro de Estudios Andaluces, Government of Andalusia - 2006
Mechanism (ERM). We examine the instability in terms of multiple structural breaks in the variance of the series. To that end …, we employ two procedures: the OLS-based tests to detect multiple structural breaks, proposed by Bai and Perron (1998 … and Perron (2003). Results indicate that there is some evidence of structural breaks in volatility across investigated …