This paper proposes a class of test procedures for a structural change with an unknown change point. In particular, we consider a general financial time series model with conditional heteroskedasticity. The test statistics are constructed via the empirical distribution approach and aim at...

This paper examines high frequency stock returns with buy/sell signals. It demonstrates how such trading information could be utilized in a qualitative threshold framework to explain and predict the asymmetric behaviour of intrady stock returns. The study discovers that the buyer-dominating...