Nothing Special   »   [go: up one dir, main page]
create a website
Estimation and inference in unstable nonlinear least squares models. (2010). Hall, Alastair ; Boldea, Otilia.
In: MPRA Paper.
RePEc:pra:mprapa:23150.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 54

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Estimation and inference in unstable nonlinear least squares models. (2013). Hall, Alastair ; Boldea, Otilia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:172:y:2013:i:1:p:158-167.

    Full description at Econpapers || Download paper

  2. Testing for predictive ability in the presence of structural breaks (in Russian). (2010). Yaskov, Pavel .
    In: Quantile.
    RePEc:qnt:quantl:y:2010:i:8:p:127-135.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Anderson, G. J., and Mizon, G. E. (1983). `Parameter Constancy Tests: Old and New, Discussion Paper 8325, Economics Department, University of Southampton.
    Paper not yet in RePEc: Add citation now

  2. Andreou, E., and Ghysels, E. (2002). `Detecting Multiple Breaks in Financial Market Volatility Dynamics, Journal of Applied Econometrics, 17: 579-600.

  3. Andrews, D. W. K. (1993). `Tests for Parameter Instability and Structural Change with Unknown Change Point, Econometrica, 61: 821-856.

  4. Andrews, D. W. K. (2003). `End-of-Sample Instability Tests, Econometrica, 71: 1661-1694.

  5. Andrews, D. W. K., and Fair, R. C. (1988). `Inference in Nonlinear Econometric Models with Structural Change, The Review of Economic Studies, 55: 615-639.

  6. Bai, J. (1994). `Least Squares Estimation of a Shift in Linear Processes, Journal of Time Series Analysis, 15: 453-472.

  7. Bai, J. (1995). `Least Absolute Deviation Estimation of a Shift, Econometric Theory, 11: 403-436.

  8. Bai, J. (1997). `Estimation of a Change Point in Multiple Regression Models, Review of Economics and Statistics, 79: 551-563.

  9. Bai, J., and Perron, P. (1998). `Estimating and Testing Linear Models with Multiple Structural Changes, Econometrica, 66: 47-78.

  10. Bai, J., and Perron, P. (2003a). `Critical Values for Multiple Structural Change Tests, The Econometrics Journal, 6: 72-78.

  11. Bai, J., and Perron, P. (2003b). `Multiple Structural Change Models: A Simulation Analysis, in Econometric Theory and Practice, pp. 212-237. Cambridge Univ. Press, Cambridge.
    Paper not yet in RePEc: Add citation now

  12. Banerjee, A., and Urga, G. (2005). `Modeling Structural Breaks, Long Memory and Stock Market Volatility: An Overview, Journal of Econometrics, 129: 1-34.

  13. Bates, D. M., and Watts, D. (1988). Nonlinear Regression Analysis and Its Applications. John Wiley and Sons, New York.
    Paper not yet in RePEc: Add citation now

  14. Bec, F., Salem, M., and Collard, F. (2002). `Asymmetries in Monetary Policy Reaction Function: Evidence for the US, French and German Central Banks, Studies in Nonlinear Dynamics and Econometrics, 6: Art. 3.

  15. Bhattacharya, P. K. (1994). `Some Aspects of Change-Point Analysis, in E. Carlstein, H.-G. Muller, and D. Siegmund (eds.), Change-Point Problems, vol. 23 of IMS Lecture Notes Monograph Series, pp. 28-56.
    Paper not yet in RePEc: Add citation now

  16. Boldea, O., Hall, A. and Han, S.(2010). `Asymptotic Distribution Theory for Break Point Estimators in Models Estimated via 2SLS, Discussion Paper, Department of Economics, North Carolina State University.

  17. Caner, M. (2007). `Boundedly Pivotal Structural Change Tests in Continuous Updating GMM with Strong, Weak identification and Completely Unidentified Cases, Journal of Econometrics, 137: 28-67.

  18. Carrasco, M., and Chen, X. (2002). `Mixing and Moment Properties of Various GARCH and Stochastic Volatility Models, Econometric Theory, 18: 17-39.

  19. Chan, K. S., and Tong, H. (1986). `On Estimating Thresholds in Autoregressive Models, Journal of Time Series Analysis, 7: 179-190.

  20. Csorgo, M., and Horvath, L. (1997). Limit Theorems for Change Point Analysis. Chichester-Wiley, Chichester.
    Paper not yet in RePEc: Add citation now

  21. Davidson, J. (2002). `Establishing Conditions for the Functional Central Limit Theorem in Nonlinear and Semiparametric Time Series Processes, Journal of Econometrics, 106: 179-190.

  22. Davis, R. A., Lee, T. C. M., and Rodriguez-Yam, G. A. (2006). `Structural Break Estimation for Nonstationary Time Series Models, Journal of the American Statistical Association, 101: 223-239.

  23. Dolado, J., Maria-Dolores, R., and Ruge-Murcia, M. (2004). `Nonlinear Monetary Policy Rules: Some New Evidence from US, Studies in Nonlinear Dynamics and Econometrics, 8: Art. 2.

  24. Dufour, J.-M., and Ghysels, E. (1996). `Editor`s Introduction. Recent Developments in the Econometrics of Structural Change, Journal of Econometrics, 70: 1-8.

  25. Eitrheim, ., and Terasvirta, T. (1996). `Testing the Adequacy of the Smooth Transition Autoregressive Models, Journal of Econometrics, 74: 59-75.

  26. Elliott, G., and Muller, U. (2007). `Condence Sets for the Date of a Single Break in Linear Time Series Regressions, Journal of Econometrics, 141: 1196-1218.

  27. Fan, J., and Yao, Q. (2003). Nonlinear Time Series: Nonparametric and Parametric Methods. Springer Series in Statistics, New York.
    Paper not yet in RePEc: Add citation now

  28. Florio, A. (2006). `Asymmetric Interest Rate Smoothing: The Fed Approach, Economic Letters, 93: 190-195.

  29. Gallant, A. R. (1987). Nonlinear Statistical Models, Wiley Series in Probability and Mathematical Statistics. John Wiley and Sons, New York.
    Paper not yet in RePEc: Add citation now
  30. Gallant, A. R., and White, H. (1988). A Unied Theory of Estimation and Inference for Nonlinear Dynamic Models. Basil Blackwell, Oxford, UK.
    Paper not yet in RePEc: Add citation now

  31. Ghysels, E., and Hall, A. R. (1990). `A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator, International Economic Review, 31: 355-364.

  32. Hall, A. R., and Sakkas, N. (2010). `Approximate p-values of Certain Tests Involving Hypotheses about Multiple Breaks, work in progress.
    Paper not yet in RePEc: Add citation now

  33. Hall, A. R., and Sen, A. (1999). `Structural Stability Testing in Models Estimated by Generalized Method of Moments, Journal of Business & Economic Statistics, 17: 335-348.

  34. Hall, A. R., Han, S., and Boldea, O. (2009). `Inference Regarding Multiple Structural Changes in Linear Models with Endogenous Regressors, Discussion Paper, Department of Economics, North Carolina State University.

  35. Hansen, B. E. (2000). `Testing for Structural Change in Conditional Models, Journal of Econometrics, 97: 93-115.

  36. Kesriyeli, M., Osborn, D., and Sensier, M. (2006). `Nonlinearity and Structural Change in Interest Rate Reaction Functions for the US, UK and Germany, in C. Milas, D. van Dijk, and P. Rothman (eds.), Nonlinear Time Series Analysis of Business Cycles, pp. 283-310.

  37. Kim, D., Osborn, D., and Sensier, M. (2005). `Nonlinearity in the Feds Monetary Policy Rule, Journal of Applied Econometrics, 20: 621-639.

  38. Kokoszka, P., and Leipus, R. (2000). `Change-point Estimation in ARCH models, Bernoulli, 6: 513-539.
    Paper not yet in RePEc: Add citation now
  39. Krishnaiah, P. R., and Miao, B. Q. (1988). `Review about Estimation of Change Points, in P. R. Krishnaiah and C. P. Rao (eds.), Handbook of Statistics, vol. 7, pp. 375-402. New York: Elsevier.
    Paper not yet in RePEc: Add citation now

  40. Lavielle, M., and Moulines, E. (2000). `Least-Squares Estimation of an Unknown Number of Shifts in a Time Series, Journal of Time Series Analysis, 21: 33-59.

  41. Lucas, R. (1976). `Econometric Policy Evaluation: A Critique, in K. Brunner and A. Melzer (eds.), The Phillips Curve and Labor Markets, vol. 1 of Carnegie- Rochester Conference Series on Public Policy, pp. 19-46.

  42. Luukkonen, R., Saikkonen, P., and Teräsvirta, T. (1988). `Testing Linearity Against Smooth Transition Autoregressive Models, Biometrika, 75: 491-499.
    Paper not yet in RePEc: Add citation now
  43. Mokkadem, A. (1985). `Le Modele Non Lineaire AR(1) General. Ergodicite et Ergodicite Geometrique, Comptes Rendus de lAcademie des Sciences. Serie I. Mathematique, 331: 889-892.
    Paper not yet in RePEc: Add citation now

  44. Perron, P., and Qu, Z. (2006). `Estimating Restricted Structural Change Models, Journal of Econometrics, 134: 373-399.

  45. Qu, Z., and Perron, P. (2007). `Estimating and Testing Multiple Structural Changes in Multivariate Regressions, Econometrica, 75: 459-502.

  46. Quandt, R. E. (1958). `The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes, Journal of the American Statistical Association, 53: 873-880.
    Paper not yet in RePEc: Add citation now
  47. Quandt, R. E. (1960). `Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes, Journal of the American Statistical Association, 55: 324-330.
    Paper not yet in RePEc: Add citation now
  48. Rissanen, J. (1989). Stochastic Complexity in Statistical Inquiry, vol. 15 of World Scientic Series in Computer Science.World Scientic Publishing, Teaneck, NJ.
    Paper not yet in RePEc: Add citation now
  49. Rosenblatt, M. (1971). Markov processes: Structure and Asymptotic Behavior. Springer, New York.
    Paper not yet in RePEc: Add citation now

  50. Schaling, E. (2004). `The Nonlinear Phillips Curve and In ation Forecast Targeting: Symmetric versus Asymmetric Monetary Policy Rules, Journal of Money, Credit and Banking, 36: 361-386.

  51. Sowell, F. (1996). `Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework, Econometrica, 64: 1085-1107.

  52. Stock, J. H., and Watson, M. W. (2002). `Has the Business Cycle Changed and Why?, NBER Macroeconomics Annual, pp. 159-218.

  53. Yao, Y.-C. (1988). `Estimating the Number of Change-Points via Schwarz Criterion, Statistics and Probability Letters, 6: 181-189.

  54. Zacks, S. (1983). `Survey of Classical and Bayesian Approaches to the Change-Point Problem: Fixed Sample and Sequential Procedures of Testing and Estimation, in Recent Advances in Statistics, pp. 245-269. Academic Press, New York.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate. (2015). Yoon, Seong-Min ; Mensi, walid ; Hammoudeh, Shawkat.
    In: Energy Economics.
    RePEc:eee:eneeco:v:48:y:2015:i:c:p:46-60.

    Full description at Econpapers || Download paper

  2. Volatility persistence in crude oil markets. (2014). Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
    In: Post-Print.
    RePEc:hal:journl:hal-00940312.

    Full description at Econpapers || Download paper

  3. Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries. (2013). Çevik, Emrah ; Cevik, Emrah Ismail ; KOSEOGLU, Sinem Derindere .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:63:y:2013:i:1:p:65-86.

    Full description at Econpapers || Download paper

  4. Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration. (2013). Gebka, Bartosz ; Gbka, Bartosz ; Karoglou, Michail .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:9:p:3639-3653.

    Full description at Econpapers || Download paper

  5. Commodity volatility breaks. (2012). Wohar, Mark ; Vivian, Andrew.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:2:p:395-422.

    Full description at Econpapers || Download paper

  6. Return and volatility spillovers among CIVETS stock markets. (2012). Korkmaz, Turhan ; Çevik, Emrah ; Atukeren, Erdal.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:13:y:2012:i:2:p:230-252.

    Full description at Econpapers || Download paper

  7. One date, one break?. (2011). Law, Siong Hook ; Karoglou, Michail ; Demetriades, Panicos.
    In: Empirical Economics.
    RePEc:spr:empeco:v:41:y:2011:i:1:p:7-24.

    Full description at Econpapers || Download paper

  8. On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). Sévi, Benoît ; Chevallier, Julien.
    In: Annals of Finance.
    RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29.

    Full description at Econpapers || Download paper

  9. Inflation targeting in Latin America: Empirical analysis using GARCH models. (2011). Broto, Carmen.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:3:p:1424-1434.

    Full description at Econpapers || Download paper

  10. Sequential Testing with Uniformly Distributed Size. (2011). Kosenok, Grigory ; Anatolyev, Stanislav.
    In: Working Papers.
    RePEc:cfr:cefirw:w0123.

    Full description at Econpapers || Download paper

  11. Fractionally integrated time varying GARCH model. (2010). Boutahar, Mohamed ; Ben Nasr, Adnen ; Trabelsi, Abdelwahed.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:19:y:2010:i:3:p:399-430.

    Full description at Econpapers || Download paper

  12. Estimation and inference in unstable nonlinear least squares models. (2010). Hall, Alastair ; Boldea, Otilia.
    In: MPRA Paper.
    RePEc:pra:mprapa:23150.

    Full description at Econpapers || Download paper

  13. Volatility Dependence across Asia-Pacific Onshore and Offshore Currency Forwards Markets. (2009). Funke, Michael ; Colavecchio, Roberta .
    In: Working Papers.
    RePEc:hkm:wpaper:112009.

    Full description at Econpapers || Download paper

  14. Options Introduction and Volatility in the EU ETS. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit ; le Pen, Yannick.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00405709.

    Full description at Econpapers || Download paper

  15. On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00387286.

    Full description at Econpapers || Download paper

  16. Options introduction and volatility in the EU ETS. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit ; le Pen, Yannick.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00419339.

    Full description at Econpapers || Download paper

  17. On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: Working Papers.
    RePEc:fem:femwpa:2009.113.

    Full description at Econpapers || Download paper

  18. Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility. (2009). ulu, yasemin ; Schnabl, Gunther ; Hillebrand, Eric.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:3:p:490-505.

    Full description at Econpapers || Download paper

  19. Which power variation predicts volatility well?. (2009). Sohn, Bumjean ; Ghysels, Eric.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:4:p:686-700.

    Full description at Econpapers || Download paper

  20. A semiparametric model for the systematic factors of portfolio credit risk premia. (2009). Giammarino, Flavia ; Barrieu, Pauline .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:4:p:655-670.

    Full description at Econpapers || Download paper

  21. Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets. (2009). Funke, Michael ; Colavecchio, Roberta .
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:20:y:2009:i:2:p:174-196.

    Full description at Econpapers || Download paper

  22. Options introduction and volatility in the EU ETS. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit ; le Pen, Yannick.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2009-33.

    Full description at Econpapers || Download paper

  23. On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2009-24.

    Full description at Econpapers || Download paper

  24. A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility. (2008). Schnabl, Gunther ; Hillebrand, Eric.
    In: International Economics and Economic Policy.
    RePEc:kap:iecepo:v:5:y:2008:i:4:p:389-401.

    Full description at Econpapers || Download paper

  25. Structural breaks and GARCH models of exchange rate volatility. (2008). Strauss, Jack ; Rapach, David E..
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:23:y:2008:i:1:p:65-90.

    Full description at Econpapers || Download paper

  26. Adaptive pointwise estimation in time-inhomogeneous time-series models. (2008). Härdle, Wolfgang ; Cizek, Pavel ; Schafer, Dorothea ; Lee, Yuh-Jye ; Yeh, Yi-Ren ; Hardle, Wolfgang ; Spokoiny, Vladimir.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-002.

    Full description at Econpapers || Download paper

  27. Are Asian stock markets efficient? Evidence from new multiple variance ratio tests. (2008). Kim, Jae ; Shamsuddin, Abul.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:3:p:518-532.

    Full description at Econpapers || Download paper

  28. Inflation targeting in Latin America: Empirical analysis using GARCH models. (2008). Broto, Carmen.
    In: Working Papers.
    RePEc:bde:wpaper:0826.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  30. How useful are historical data for forecasting the long-run equity return distribution?. (2007). McCurdy, Tom ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-293.

    Full description at Econpapers || Download paper

  31. How useful are historical data for forecasting the long-run equity return distribution?. (2007). McCurdy, Tom ; Maheu, John.
    In: Working Paper series.
    RePEc:rim:rimwps:19_07.

    Full description at Econpapers || Download paper

  32. Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315.

    Full description at Econpapers || Download paper

  33. Monitoring disruptions in financial markets. (2006). Andreou, Elena ; Ghysels, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:135:y:2006:i:1-2:p:77-124.

    Full description at Econpapers || Download paper

  34. A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility. (2006). Schnabl, Gunther ; Hillebrand, Eric.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006650.

    Full description at Econpapers || Download paper

  35. Are feedback factors important in modelling financial data?. (2006). Veiga, Helena.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws060101.

    Full description at Econpapers || Download paper

  36. Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility. (2006). ulu, yasemin ; Schnabl, Gunther ; Hillebrand, Eric.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1766.

    Full description at Econpapers || Download paper

  37. Overlaying Time Scales in Financial Volatility Data. (2005). Hillebrand, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:0501015.

    Full description at Econpapers || Download paper

  38. Long memory volatility dependency, temporal aggregation and the Korean currency crisis: the role of a high frequency Korean won (KRW)-US dollar ($) exchange rate. (2005). Han, YoungWook .
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:17:y:2005:i:1:p:97-109.

    Full description at Econpapers || Download paper

  39. Beware of breaks in exchange rates: Evidence from European transition countries. (2005). Kočenda, Evžen.
    In: Economic Systems.
    RePEc:eee:ecosys:v:29:y:2005:i:3:p:307-324.

    Full description at Econpapers || Download paper

  40. Neglecting parameter changes in GARCH models. (2005). Hillebrand, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:129:y:2005:i:1-2:p:121-138.

    Full description at Econpapers || Download paper

  41. Modelling structural breaks, long memory and stock market volatility: an overview. (2005). Urga, Giovanni ; Banerjee, Anindya.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:129:y:2005:i:1-2:p:1-34.

    Full description at Econpapers || Download paper

  42. Testing for causality in variance in the presence of breaks. (2005). van Dijk, Dick ; Sensier, Marianne ; Osborn, Denise.
    In: Economics Letters.
    RePEc:eee:ecolet:v:89:y:2005:i:2:p:193-199.

    Full description at Econpapers || Download paper

  43. The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection. (2004). Schnabl, Gunther ; Hillebrand, Eric.
    In: International Finance.
    RePEc:wpa:wuwpif:0410008.

    Full description at Econpapers || Download paper

  44. The Effects of Japanese Foreign Exchange Intervention, GARCH Estimation and Change Point Detection. (2004). Schnabl, Gunther ; Hillebrand, Eric.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:7.

    Full description at Econpapers || Download paper

  45. Structural changes in volatility and stock market development: Evidence for Spain. (2004). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Cuñado, Juncal ; Hidalgo, Fernando Perez de Gracia, ; Eizaguirre, Juncal Cunado.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:7:p:1745-1773.

    Full description at Econpapers || Download paper

  46. Monitoring for Disruptions in Financial Markets. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-26.

    Full description at Econpapers || Download paper

  47. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-25.

    Full description at Econpapers || Download paper

  48. How wacky is the DAX? The changing structure of German stock market volatility. (2003). Stapf, Jelena ; Werner, Thomas.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4473.

    Full description at Econpapers || Download paper

  49. Test for Breaks in the Conditional Co-Movements of Asset Returns. (2003). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:3-2003.

    Full description at Econpapers || Download paper

  50. Testing for Changes in the Unconditional Variance of Financial Time Series. (2003). Sansó, Andreu ; Carrion-i-Silvestre, Josep ; Arago, Vicent .
    In: DEA Working Papers.
    RePEc:ubi:deawps:5.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-17 00:04:43 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.