Loschi, Rosangela; Bastos, Leonardo; Iglesias, Pilar - In: Computational Economics 24 (2005) 4, pp. 305-319
Several previous works show that, in general, financial time series are characterized by periods of large volatility followed by periods of relative quitness. In this paper we consider the product partition model (PPM) to identify changes in the volatility extending it to identify multiple...