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Citations for "Detecting Mutiple Breaks in Financial Market Volatility Dynamics"

by Elena Andreou & Eric Ghysels

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  1. Julien Chevallier & Benoît Sévi, 2009. "On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting," Working Papers 2009.113, Fondazione Eni Enrico Mattei.
  2. Gebka, Bartosz & Wohar, Mark E., 2013. "Causality between trading volume and returns: Evidence from quantile regressions," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 144-159.
  3. van Dijk, Dick & Osborn, Denise R. & Sensier, Marianne, 2005. "Testing for causality in variance in the presence of breaks," Economics Letters, Elsevier, vol. 89(2), pages 193-199, November.
  4. Otilia Boldea & Alastair R. Hall, 2009. "Estimation and Inference in Unstable Nonlinear Least Squares Models," Centre for Growth and Business Cycle Research Discussion Paper Series 126, Economics, The Univeristy of Manchester.
  5. Guillermo Benavides & Carlos Capistrán, 2009. "Una nota sobre las volatilidades de la tasa de interés y del tipo de cambio según diferentes instrumentos de política monetaria: México 1998-2008," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 391-412, octubre-d.
  6. Eric Hillebrand, 2005. "Overlaying Time Scales in Financial Volatility Data," Econometrics 0501015, EconWPA.
  7. Javier Pereda, 2009. "Estimación de la curva de rendimiento para el Perú y su uso para el análisis monetario," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 413-450, octubre-d.
  8. Adnen Ben Nasr & Thomas Lux & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching," Working Papers 2014-236, Department of Research, Ipag Business School.
  9. Mahua Barari & Nityananda Sarkar & Srikanta Kundu & Kushal Banik Chowdhury, 2014. "Forecasting House Prices in the United States with Multiple Structural Breaks," International Econometric Review (IER), Econometric Research Association, vol. 6(1), pages 1-23, April.
  10. Kocenda, Evzen, 2005. "Beware of breaks in exchange rates: Evidence from European transition countries," Economic Systems, Elsevier, vol. 29(3), pages 307-324, September.
  11. Helena Veiga, 2006. "Are Feedback Factors Important In Modelling Financial Data?," Statistics and Econometrics Working Papers ws060101, Universidad Carlos III, Departamento de Estadística y Econometría.
  12. Michael Funke & Roberta Colavecchio, 2009. "Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets," Quantitative Macroeconomics Working Papers 20903, Hamburg University, Department of Economics.
  13. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
  14. Pavel Cizek & Wolfgang Härdle & Vladimir Spokoiny, 2008. "Adaptive pointwise estimation in time-inhomogeneous time-series models," SFB 649 Discussion Papers SFB649DP2008-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  15. Pablo Mendieta & Sergio Cerezo & Javier Cossio, 2009. "¿La inflación está de vuelta en Sudamérica?: choques exógenos, expectativas y credibilidad de la política monetaria," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 359-389, octubre-d.
  16. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
  17. Piotr Fryzlewicz & H. S. Oh, 2011. "Thick pen transformation for time series," LSE Research Online Documents on Economics 37663, London School of Economics and Political Science, LSE Library.
  18. Michail Karoglou & Panicos Demetriades & Siong Law, 2011. "One date, one break?," Empirical Economics, Springer, vol. 41(1), pages 7-24, August.
  19. Eric Hillebrand & Gunther Schnabl, 2004. "The Effects of Japanese Foreign Exchange Intervention, GARCH Estimation and Change Point Detection," Money Macro and Finance (MMF) Research Group Conference 2004 7, Money Macro and Finance Research Group.
  20. John M Maheu & Thomas H McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Papers tecipa-293, University of Toronto, Department of Economics.
  21. Ali Babikir & Rangan Gupta & Chance Mwabutwa & Emmanuel Owusu-Sekyere, 2010. "Structural Breaks and GARCH Models of Stock Return Volatility: The Case of South Africa," Working Papers 201030, University of Pretoria, Department of Economics.
  22. Bertrand B. Maillet & Jean-Philippe R. Médecin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
  23. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
  24. Gębka, Bartosz & Karoglou, Michail, 2013. "Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3639-3653.
  25. Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît, 2011. "Options introduction and volatility in the EU ETS," Economics Papers from University Paris Dauphine 123456789/6793, Paris Dauphine University.
  26. Colavecchio , Roberta & Funke, Michael, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," BOFIT Discussion Papers 17/2007, Bank of Finland, Institute for Economies in Transition.
  27. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2012. "A new fluctuation test for constant variances with applications to finance," Metrika, Springer, vol. 75(8), pages 1111-1127, November.
  28. Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003. "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers 5, Universitat de les Illes Balears, Departament d'Economía Aplicada.
  29. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics.
  30. Juncal Cunado & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Structural Changes in Volatility and Stock Market Development: Evidence for Spain," Faculty Working Papers 06/03, School of Economics and Business Administration, University of Navarra.
  31. Hillebrand, Eric & Schnabl, Gunther, 2006. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," Working Paper Series 0650, European Central Bank.
  32. Vivian, Andrew & Wohar, Mark E., 2012. "Commodity volatility breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 395-422.
  33. Chun Liu & John M Maheu, 2007. "Are there Structural Breaks in Realized Volatility?," Working Papers tecipa-304, University of Toronto, Department of Economics.
  34. Ralf Becker & Adam Clements, 2007. "Forecasting stock market volatility conditional on macroeconomic conditions," NCER Working Paper Series 18, National Centre for Econometric Research.
  35. Sinem Derindere KOSEOGLU & Emrah Ismail CEVIK, 2013. "Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(1), pages 65-86, March.
  36. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
  37. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
  38. Kim, Moosup & Lee, Taewook & Noh, Jungsik & Baek, Changryong, 2014. "Quasi-maximum likelihood estimation for multiple volatility shifts," Statistics & Probability Letters, Elsevier, vol. 86(C), pages 50-60.
  39. Ghysels, Eric & Sohn, Bumjean, 2009. "Which power variation predicts volatility well?," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 686-700, September.
  40. Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009. "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 490-505, July.
  41. Calvo-Gonzalez, Oscar & Shankar, Rashmi & Trezzi, Riccardo, 2010. "Are commodity prices more volatile now ? a long-run perspective," Policy Research Working Paper Series 5460, The World Bank.
  42. repec:dgr:uvatin:2004067 is not listed on IDEAS
  43. Arago-Manzana, Vicent & Fernandez-Izquierdo, Maria Angeles, 2007. "Influence of structural changes in transmission of information between stock markets: A European empirical study," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 112-124, April.
  44. Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138.
  45. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.
  46. Kim, Jae H. & Shamsuddin, Abul, 2008. "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 518-532, June.
  47. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
  48. de Pooter, M.D. & van Dijk, D.J.C., 2004. "Testing for changes in volatility in heteroskedastic time series - a further examination," Econometric Institute Research Papers EI 2004-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  49. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  50. Julien Chevallier & Benoît Sévi, 2011. "On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting," Annals of Finance, Springer, vol. 7(1), pages 1-29, February.
  51. Han, Young Wook, 2005. "Long memory volatility dependency, temporal aggregation and the Korean currency crisis: the role of a high frequency Korean won (KRW)-US dollar ($) exchange rate," Japan and the World Economy, Elsevier, vol. 17(1), pages 97-109, January.
  52. Broto, Carmen, 2011. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1424-1434, May.
  53. Martin Martens & Dick van Dijk & Michiel de Pooter, 2004. "Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity," Tinbergen Institute Discussion Papers 04-067/4, Tinbergen Institute.
  54. Galeano, Pedro & Wied, Dominik, 2014. "Multiple break detection in the correlation structure of random variables," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 262-282.
  55. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
  56. Werner, Thomas & Stapf, Jelena, 2003. "How wacky is the DAX? The changing structure of German stock market volatility," Discussion Paper Series 1: Economic Studies 2003,18, Deutsche Bundesbank, Research Centre.
  57. Richard Heaney & Kerry Pattenden, 2005. "Change in unconditional foreign exchange rate volatility: an analysis of the GBP and USD price of the Euro from 2002 to 2003," Applied Economics Letters, Taylor & Francis Journals, vol. 12(15), pages 929-932.
  58. Bartosz Gębka & Michail Karoglou, 2013. "Is there life in the old dogs yet? Making break-tests work on financial contagion," Review of Quantitative Finance and Accounting, Springer, vol. 40(3), pages 485-507, April.
  59. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
  60. Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
  61. Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR).
  62. Rohan, Neelabh, 2013. "A time varying GARCH(p,q) model and related statistical inference," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 1983-1990.
  63. Efe Çağlar Çağli & Pinar Evrim Mandaci & Pinar Hakan Kahyaoğlu, 2011. "Volatility Shifts and Persistence in Variance: Evidence from the Sector Indices of Istanbul Stock Exchange," International Journal of Economic Sciences and Applied Research (IJESAR), Technological Educational Institute (TEI) of Kavala, Greece, vol. 4(3), pages 119-140, December.
  64. Guillermo Benavides & Carlos Capistrán, 2009. "A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments: Mexico 1998-2008," Working Papers 2009-10, Banco de México.
  65. Michail Karoglou & Bruce Morley & Dennis Thomas, 2013. "Risk and Structural Instability in US House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 424-436, April.
  66. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo Group Munich.
  67. Xu, Ke-Li, 2013. "Power monotonicity in detecting volatility levels change," Economics Letters, Elsevier, vol. 121(1), pages 64-69.
  68. Sensoy, Ahmet, 2013. "Dynamic relationship between precious metals," Resources Policy, Elsevier, vol. 38(4), pages 504-511.
  69. Giammarino, Flavia & Barrieu, Pauline, 2009. "A semiparametric model for the systematic factors of portfolio credit risk premia," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 655-670, September.
  70. Thomas Windberger & Achim Zeileis, 2011. "Structural Breaks in Inflation Dynamics within the European Monetary Union," Working Papers 2011-12, Faculty of Economics and Statistics, University of Innsbruck.
  71. Aue, Alexander & Horváth, Lajos & Hušková, Marie, 2012. "Segmenting mean-nonstationary time series via trending regressions," Journal of Econometrics, Elsevier, vol. 168(2), pages 367-381.
  72. Mario Reyna Cerecero & Diana Salazar Cavazos & Héctor Salgado Banda, 2009. "La curva de rendimiento y su relación con la actividad económica: una aplicación para México," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 297-357, octubre-d.
  73. S Coleman & M Karoglou, 2010. "Monetary Variability and Monetary Variables in the Franc Zone," Economic Issues Journal Articles, Economic Issues, vol. 15(2), pages 17-48, September.
  74. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods and Applications, Springer, vol. 19(3), pages 399-430, August.
  75. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.