We suggest a procedure for model update, based on detection of structural breaks at unknown change-points. The procedure makes use of the SupF test introduced by Andrews (1993). We apply this procedure for modelling the common stock index returns in the Istanbul Stock Exchange for the 11 year...

We report international evidence for the presence of stock return rebounds following extreme falls in market indices. The data consists of weekly national index returns for 21 world markets. A non-linear time series model is used to capture part of the variation in return autocorrelations across...