Detecting Multiple Breaks in Financial Market Volatility Dynamics

[22] Engle, R.F. (1982), “Autoregressive conditional Iieteroskedasticity with
estimates of the variance of the United Kingdom inflation”, Economet-
rica, 50, 987-1007.

[23] Engle R. F and A. Smith (1999), “Stochastic Permanent Breaks”, Re-
view of Economics and Statistics, 81, 553-574.

[24] Francq, C. and J.-M. Zakoian (2000a), “Estimating Stochastic Volatility
Models: A New Approach Based on ARMA Representations”, CREST
Discussion Paper No. 2000-47.

[25] Francq, C. and J.-M. Zakoian (2000b), “Estimating Weak GARCH Rep-
resentations”, Econometric Theory, 16, 692-728.

[26] French, K.R., G.W. Schwert and R.F. Stambaugh (1987), “Expected
Stock Returns and Volatility”, Journal of Financial Economics, 19, 3-
29.

[27] Foster, D. and Nelson, D. (1996), “Continuous Record Asymptotics for
Rolling Sample Estimators”, Econometrica, 64, 139-174.

[28] Gallant, A. R. (1987), Nonlinear Statistical Models, John Wiley and
Sons, New York.

[29] C. W. J. Granger and Z. Ding (1996) “Varieties of Long Memory Models”,
Journal of Econometrics, 73, 1, 61-77.

[30] Granger, C.W.J. and N. Hyung (1999), “Occasional Structural Breaks
and Long Memory”, Discussion Paper 99-14, Department of Economics,
University of California, San Diego.

[31] Hansen, L. P. (1982), “Large Sample Properties of Generalized Method
of Moments Estimators”, Econometrica, 50, 1029-1054.

[32] Hendry, D. F. (1986), “An Excursion into Conditional Variance Land”,
Econometric Reviews, 5, 63-69.

[33] Horvath, L. (1997) “Detection of changes in linear sequences”, Annals
Inst. Stat. Math. 49, 271-283.

21

<<   20   21   22   23   24   25   26   >>

More intriguing information