fluctuations in these markets. The Iterated Cumulative Sums of Squares (ICSS) algorithm was used to identify the existence of …

few decades. In this paper, we employ the modified ICSS algorithm to detect structural change in the unconditional …

ICSS-CRISIS algorithm, a new approach to identify a crisis period along with the conditions for the ICSS algorithm which … the ICSS algorithm to prove the effectiveness of Credit Default Swap index data. …

(IT ICSS) algorithm for detecting sudden changes in volatility. We make use of the variance estimator that utilizes high … squared returns. We find that the IT ICSS algorithm exhibits more desirable size and power properties when applied with the RS … estimator in comparison to the demeaned squared returns. On the empirical side, we apply the IT ICSS algorithm with the RS …

Iterative Cumulative Sum of Squares (ICSS) algorithm and wavelet analysis. Specifically, we look at the effect of the outbreak …