Testing for Changes in the Unconditional Variance of Financial Time Series
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References listed on IDEAS
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More about this item
KeywordsICSS; Changes in Variance; Kurtosis; ARCH; IGARCH.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G19 - Financial Economics - - General Financial Markets - - - Other
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