De Gaetano, Davide - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-13
The aim of this paper is to investigate the relevance of structural breaks for forecasting the volatility of daily returns on BRICS countries (Brazil, Russia, India, China and South Africa). The data set used in the analysis is the Morgan Stanley Capital International MSCI daily returns and...