17
any volatility shifts over 1997-2002, whereas wavelet analysis found evidence of volatility
breakpoints at some given scales of the data only for 1997-1998 (Asian crisis). For interest
rates, both methods detect breakpoints in volatility for the filtered first difference of the 30-
day and 60-day series over February 2001-April 2002 (nominalization of the monetary
policy interest rate). A Wald test for parameter stability reinforces this evidence for interest
rates.
References
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Bacmann, J. and M. Dubois (2002), "Volatility in Emerging Stock Markets Revisited."
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