Covarrubias, Guillermo; Ewing, Bradley T.; Hein, Scott E.; … - In: Physica A: Statistical Mechanics and its Applications 369 (2006) 2, pp. 737-744
This paper examines the daily volatility of changes in the 10-year Treasury note utilizing the iterated cumulative sums of squares algorithm [C. Inclan, G. Tiao, Use of cumulative sums of squares for retrospective detection of changes of variance, J. Am. Stat. Assoc. 89 (1994) 913–923]. The...
