Detecting Multiple Breaks in Financial Market Volatility Dynamics

provided by Research Papers in Economics

DEPARTMENT OF ECONOMICS

UNIVERSITY OF CYPRUS

DETECTING MULTIPLE BREAKS IN FINANCIAL MARKET

VOLATILITY DYNAMICS

Elena Andreou and Eric Ghysels

Discussion Paper 2002-02

P.O. Box 20537, 1678 Nicosia, CYPRUS Tel.: ++357-2-892430, Fax: ++357-2-892432
Web site: http://www.econ.ucy.ac.cy

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