Guo, Weiyu; Wohar, Mark E. - In: Journal of Financial Research 29 (2006) 1, pp. 79-93
A casual inspection of a graph of volatility indexes over time indicates that volatility has undergone infrequent, but significant, shifts in its average level. The purpose of this article is to test for multiple structural breaks in the mean level of market volatility measured by the VIX and...