Kumar, Dilip; Maheswaran, S. - In: Economic Modelling 31 (2013) C, pp. 484-491
(IT ICSS) algorithm for detecting sudden changes in volatility. We make use of the variance estimator that utilizes high … squared returns. We find that the IT ICSS algorithm exhibits more desirable size and power properties when applied with the RS … estimator in comparison to the demeaned squared returns. On the empirical side, we apply the IT ICSS algorithm with the RS …