Monitoring for Disruptions in Financial Markets
Year of publication: |
2004-05-01
|
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Authors: | Andreou, Elena ; Ghysels, Eric |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | structural change | CUSUM | GARCH | quadratic variation | power variation | high frequency data | Brownian bridge | boundary crossing | sequential tests | local power | changement structurel | variation quadratique | 'power variation' | données de haute fréquence | pont Brownien | puissance locale | tests séquentiels |
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The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests
Andreou, Elena, (2004)
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Woerner, Jeannette H. C., (2003)
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Estimation of integrated volatility in stochastic volatility models
Woerner, Jeannette H. C., (2003)
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Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results
Andreou, Elena, (2000)
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The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests
Andreou, Elena, (2004)
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Tests for Breaks in the Conditional Co-movements of Asset Returns
Andreou, Elena, (2002)
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