Most of the empirical applications of the stochastic volatility (SV) model are based on the assumption that the conditional distribution of returns, given the latent volatility process, is normal. In this paper, the SV model based on a conditional normal distribution is compared with SV...

We propose a strategy for assessing structural stability in time-series frameworks when potential change dates are unknown. Existing stability tests are effective in detecting structural change, but procedures for identifying timing are imprecise, especially in assessing the stability of...