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  • Search: subject:"Volatility break"
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Year of publication
Subject
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Volatility break 3 CUSUM test 2 Estimation 2 LM test 2 Schätzung 2 Volatility 2 Volatilität 2 ARCH model 1 ARCH-Modell 1 Aktienmarkt 1 Augmented bivariate VAR asymmetric BEKK-GARCH 1 Börsenkurs 1 Estimation theory 1 Handelsvolumen der Börse 1 KMU 1 Non-monotonic power 1 Nonparametric volatility estimation 1 Nonstationary volatility 1 Return and asymmetric volatility transmissions 1 Robust statistics 1 Robust tests 1 Robustes Verfahren 1 SME 1 SME stock market 1 Schätztheorie 1 Share price 1 Statistical test 1 Statistischer Test 1 Stock market 1 Structural break 1 Structural change 1 Strukturbruch 1 Strukturwandel 1 Thin trading 1 Trading volume 1 VAR model 1 VAR-Modell 1
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Undetermined 2
Type of publication
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Xu, Ke-Li 2 Chaiechi, Taha 1 Eagle, Lynne C. 1 Low, David R. 1 Nguyen, Trang 1
Published in...
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Journal of Econometrics 1 The econometrics journal 1 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Dynamic transmissions between main stock markets and SME stock markets : evidence from tropical economies
Nguyen, Trang; Chaiechi, Taha; Eagle, Lynne C.; Low, … - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 308-324
Persistent link: https://www.econbiz.de/10012416910
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Testing for structural change under non-stationary variances
Xu, Ke-Li - In: The econometrics journal 18 (2015) 2, pp. 274-305
Persistent link: https://www.econbiz.de/10011378499
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Powerful tests for structural changes in volatility
Xu, Ke-Li - In: Journal of Econometrics 173 (2013) 1, pp. 126-142
Detecting structural changes in volatility is important for understanding volatility dynamics and stylized facts observed for financial returns such as volatility persistence. We propose modified CUSUM and LM tests that are built on a robust estimator of the long-run variance of squared series....
Persistent link: https://www.econbiz.de/10010608474
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