Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2001
We apply several recently proposed tests for structural breaks in conditional variance and covariance dynamics. The … breaks, the statistics allow to identify the number of breaks and the location of multiple breaks. We study the size and …. The paper concludes with an empirical analysis using data from the stock and FX markets for which we find multiple breaks …