Wang, Ping; Moore, Tomoe - In: Journal of International Financial Markets, … 19 (2009) 1, pp. 33-46
This paper investigates sudden changes in volatility in the stock markets of new European Union (EU) members by utilizing the iterated cumulative sums of squares (ICSS) algorithm. Using weekly data over the sample period 1994-2006, the time period of sudden change in variance of returns and the...