We investigate several promising algorithms, proposed in literature, devised to detect sudden changes (structural breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm is carried out via numerical simulation in the case of...

In this paper we introduce the STAR-STGARCH model that can characterizenonlinear behaviour both in the conditional mean and the conditionalvariance. A modelling cycle for this family of models, consisting ofspecification, estimation, and evaluation stages is constructed.Misspecification tests...

The main objective of this research is to forecast the daily direction of Standard & Poor's 500 (S&P 500) index using an artificial neural network (ANN). In order to select the most influential features (factors) of the proposed ANN that affect the daily direction of S&P 500 (the response),...