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Testing for structural breaks in GARCH models. (2008). Smith, Daniel.
In: Applied Financial Economics.
RePEc:taf:apfiec:v:18:y:2008:i:10:p:845-862.

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  1. Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach. (2024). Hong, Yongmiao ; Linton, Oliver ; Wang, Shouyang ; Sun, Jiajing ; McCabe, Brendan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003196.

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  2. Robust inference in single firm/single event analyses. (2023). Schoch, Daniela Stephanie ; Elsas, Ralf.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000408.

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  3. Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic. (2022). Quang, Anh Ngoc ; Nguyen, Manh Huu ; Huong, Giang Thi.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000366.

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  4. A score statistic for testing the presence of a stochastic trend in conditional variances. (2022). LINTON, OLIVER ; Sun, Jiajing ; McCabe, Brendan ; Hong, Yongmiao.
    In: Economics Letters.
    RePEc:eee:ecolet:v:213:y:2022:i:c:s0165176522000660.

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  5. Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries. (2020). Broto, Carmen ; Lamas, Matias.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:93:y:2020:i:c:p:217-229.

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  6. Fundamental Factors Affecting The Moex Russia Index: Structural Break Detection In A Long-Term Time Series. (2019). Saltykova, Anastasiia ; Lozinskaia, Agata.
    In: HSE Working papers.
    RePEc:hig:wpaper:77/fe/2019.

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  7. Bubbles, Busts and Breaks in UK Housing. (2015). Miles, William.
    In: International Real Estate Review.
    RePEc:ire:issued:v:18:n:04:2015:p:455-471.

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  8. Detecting the Structural Breaks in GARCH Models Based on Bayesian Method: The Case of China Share Index Rate of Return. (2015). Qiang, Li ; Fei, Qiu ; Liming, Wang.
    In: Journal of Systems Science and Information.
    RePEc:bpj:jossai:v:3:y:2015:i:4:p:321-333:n:3.

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  9. Are there Structural Breaks in Realized Volatility?. (2007). Maheu, John ; Liu, Chun.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-304.

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  10. Conditional coskewness and asset pricing. (2007). Smith, Daniel.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:1:p:91-119.

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References

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    References contributed by pfo235-11617

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