On detecting sudden changes in the unconditional volatility of a time series
Year of publication: |
April 2016
|
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Authors: | Kumar, Dilip |
Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 6.2016, 2, p. 256-261
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Subject: | AIT-ICSS Algorithm | Long Memory | Sudden Change | Volatility | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Volatilität | ARCH-Modell | ARCH model |
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