Structural Breakpoints in Volatility in International Markets
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More about this item
KeywordsICSS algorithm; wavelet analysis; volatility breakpoints.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-ETS-2006-01-24 (Econometric Time Series)
- NEP-FMK-2006-01-24 (Financial Markets)
- NEP-SEA-2006-01-24 (South East Asia)
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