Ureche-Rangau, Loredana; Speeg, Franck - In: Economics Bulletin 31 (2011) 3, pp. 2204-2218
detect significant long-term variance changes. Building up on the variance ratio detection technique introduced by Tsay (1988 … variance changes are almost inexistent, we proceed to an adjustment on a specified part of the series only after the detected … variance change. Our moving variance ratio technique proves its efficiency in detecting variance changes and removing them from …