Detecting Multiple Breaks in Financial Market Volatility Dynamics



[10] Bai, J. and Perron, P. (2002), “Computation and Analysis of Multiple
Structural Change Models”,
Journal of Applied Econometrics, forth-
coming.

[11] Barndorff-Nielsen, O. E. and N. Shephard (2000), “Econometric analy-
sis of realised volatility and its use in estimating stochastic volatility
models”, Discussion Paper, Nuffield College, University of Oxford.

[12] Bellman, R. and R. Roth (1969), “Curve Fitting by Segmented Straight
Lines”,
Journal of American Statistical Association, 64, 1079-1084.

[13] Bollerslev, T., R. F. Engle and D. B. Nelson (1994), “ARCH Models”, in
Robert F. Engle and Dan McFadden (eds.),
Handbook of Econometrics,
Volume IV, 2959-3038. Amsterdam: North-Holland.

[14] Carrasco, M. and X. Chen (2001), “Mixing and Moment Properties of
Various GARCH and Stochastic Volatility Models”,
Econometric Theory
forthcoming.

[15] Chen, C. and G.C. Tiao (1990), “Random Level-Shift Time Series Mod-
els, ARIMA Approximations, and Level-Shift Detection”,
Journal of
Business and Economic Statistics,
8, 83-97.

[16] Chu, C.-S. (1995), “Detecting parameter shift in GARCH models”,
Econometric Reviews, 14, 241-266.

[17] Csorgo, M. and L. Horvath (1997), Limit Theorems in Change-Point
Analysis,
Wiley, New York.

[18] den Haan, W.J., and A. Levin (1997), “A Practioner’s Guide to Robust
Covariance Matrix Estimation” in C.R. Rao and G.S. Maddala (eds.)
Handbook of Statistics - Vol. 15, 291-341.

[19] Diebold, F.X. (1986), ttModelingthepersistenceofconditionalvariances:
A comment”,
Economtric Reviews, 5, 51-56.

[20] Diebold, F.X. and Inoue, A. (2001), “Long Memory and Structural
Change”,
Journal of Econometrics 105, 131-159.

[21] Ding, Z., Granger, C.W.J. and Engle, R.F. (1993) “A Long-memory
Properties of Stock Market Returns and a New Model”,
Journal of Em-
pirical Finance,
1, 83-106.

20



More intriguing information

1. The name is absent
2. Epistemology and conceptual resources for the development of learning technologies
3. Individual tradable permit market and traffic congestion: An experimental study
4. Portuguese Women in Science and Technology (S&T): Some Gender Features Behind MSc. and PhD. Achievement
5. The name is absent
6. Draft of paper published in:
7. Target Acquisition in Multiscale Electronic Worlds
8. Structural Breakpoints in Volatility in International Markets
9. The name is absent
10. Tax Increment Financing for Optimal Open Space Preservation: an Economic Inquiry