Search Results - subject:"ICSS Algorithm"

Structural changes and volatility transmission in crude oil markets

Kang, Sang Hoon; Cheong, Chongcheul; Yoon, Seong-Min - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 23, pp. 4317-4324

structural changes in volatility occurred using the ICSS algorithm, and then incorporate this information into our volatility …

Persistent link: https://www.econbiz.de/10010588928

Volatility persistence in the presence of structural breaks in the Indian banking sector

Kumar, Dilip; Maheswaran, S. - In: Paradigm : the journal of Institute of Management Technology 15 (2011) 1/2, pp. 8-17

Persistent link: https://www.econbiz.de/10011758435

Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets

Kang, Sang Hoon; Cho, Hwan-Gue; Yoon, Seong-Min - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 17, pp. 3543-3550

Japanese and Korean stock markets during 1986–2008. Using the iterated cumulative sums of squares (ICSS) algorithm, we have …

Persistent link: https://www.econbiz.de/10010590090

Stock Market Turmoil: Worldwide Effects of Middle East Conflicts

Fernandez, Viviana - In: Emerging Markets Finance and Trade 43 (2007) 3, pp. 58-102

This paper analyzes the effect of recent political conflicts in the Middle East on stock markets worldwide. In particular, it studies how political instabilityâmainly due to the war in Iraqâhas affected the long-term volatility of stock markets, using two approaches, Inclan and Tiao's (1994)...

Persistent link: https://www.econbiz.de/10005543956

Testing for contagion under asymmetric dynamics: Evidence from the stock markets between US and Taiwan

Wang, Kuan-Min; Nguyen Thi, Thanh-Binh - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 422-432

iterated cumulative sums of squares (ICSS) algorithm to detect the structural breaks of market return. The second step creates …

Persistent link: https://www.econbiz.de/10011058170

Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models

Miller, Stephen M.; Fang, WenShwo; Lee, ChunShen - Department of Economics, University of Connecticut - 2007

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

Persistent link: https://www.econbiz.de/10005746152