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

by Elena Andreou & Eric Ghysels

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  1. Rohan, Neelabh, 2013. "A time varying GARCH(p,q) model and related statistical inference," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 1983-1990.
  2. 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.
  3. 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.
  4. Ewing, Bradley T. & Malik, Farooq, 2013. "Volatility transmission between gold and oil futures under structural breaks," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 113-121.
  5. Xu, Ke-Li, 2013. "Power monotonicity in detecting volatility levels change," Economics Letters, Elsevier, vol. 121(1), pages 64-69.
  6. 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.
  7. 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.
  8. Daniel Smith, 2008. "Testing for structural breaks in GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 845-862.
  9. Boldea, Otilia & Hall, Alastair R., 2013. "Estimation and inference in unstable nonlinear least squares models," Journal of Econometrics, Elsevier, vol. 172(1), pages 158-167.
  10. Roberta Colavecchio & Michael Funke, 2009. "Volatility Dependence across Asia-Pacific Onshore and Offshore Currency Forwards Markets," Working Papers 112009, Hong Kong Institute for Monetary Research.
  11. John M. Maheu & Thomas H. McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Paper Series 19_07, The Rimini Centre for Economic Analysis.
  12. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
  13. Pablo Mendieta Ossio & Sergio Cerezo Aguirre & Javier Cossío Medinacelli, 2009. "¿La inflación está de vuelta en Sudamérica?. Choques exógenos, expectativas y credibilidad de la política monetaria," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 11(1), pages 111-146, December.
  14. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. Michail Karoglou & Panicos Demetriades & Siong Law, 2011. "One date, one break?," Empirical Economics, Springer, vol. 41(1), pages 7-24, August.
  20. Eric Hillebrand & Gunther Schnabl, 2008. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," International Economics and Economic Policy, Springer, vol. 5(4), pages 389-401, December.
  21. Colavecchio, Roberta & Funke, Michael, 2007. "Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," BOFIT Discussion Papers 17/2007, Bank of Finland, Institute for Economies in Transition.
  22. Eric Hillebrand, 2005. "Overlaying Time Scales in Financial Volatility Data," Econometrics 0501015, EconWPA.
  23. 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.
  24. 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.
  25. 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.
  26. Abi Morshed, Alaa & Andreou, E. & Boldea, Otilia, 2016. "Structural Break Tests Robust to Regression Misspecification," Discussion Paper 2016-019, Tilburg University, Center for Economic Research.
  27. Ralf Becker & Adam Clements, 2007. "Forecasting stock market volatility conditional on macroeconomic conditions," NCER Working Paper Series 18, National Centre for Econometric Research.
  28. 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.
  29. Narayan, Paresh Kumar & Liu, Ruipeng & Westerlund, Joakim, 2016. "A GARCH model for testing market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 121-138.
  30. Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2011. "Options introduction and volatility in the EU ETS," Working Papers 1107, Chaire Economie du Climat.
  31. Sang Hoon Kang & SEONG-MIN YOON, 2008. "Asymmetry and Long Memory Features in Volatility: Evidence From Korean Stock Market," Korean Economic Review, Korean Economic Association, vol. 24, pages 383-412.
  32. Ewing, Bradley T. & Malik, Farooq, 2016. "Volatility spillovers between oil prices and the stock market under structural breaks," Global Finance Journal, Elsevier, vol. 29(C), pages 12-23.
  33. Veiga, Helena, 2006. "Are feedback factors important in modelling financial data?," DES - Working Papers. Statistics and Econometrics. WS ws060101, Universidad Carlos III de Madrid. Departamento de Estadística.
  34. Evzen Kocenda, 2001. "Detecting Structural Breaks: Exchange Rates in Transition Economies," Development and Comp Systems 0012009, EconWPA.
  35. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2015. "Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate," Energy Economics, Elsevier, vol. 48(C), pages 46-60.
  36. Cizek, P., 2010. "Modelling Conditional Heteroscedasticity in Nonstationary Series," Discussion Paper 2010-84, Tilburg University, Center for Economic Research.
  37. D van Dijk & D R Osborn & M Sensier, 2004. "Testing for causality in variance in the presence of breaks," Centre for Growth and Business Cycle Research Discussion Paper Series 45, Economics, The Univeristy of Manchester.
  38. Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138.
  39. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(3), pages 399-430, August.
  40. 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.
  41. 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.
  42. Karanasos, Menelaos & Yfanti, Stavroula & Karoglou, Michail, 2016. "Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 332-349.
  43. 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.
  44. repec:rim:rimwps:19-07 is not listed on IDEAS
  45. 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.
  46. Adams, Zeno & Fuess, Roland & Glueck, Thorsten, 2016. "Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance," Working Papers on Finance 1613, University of St. Gallen, School of Finance.
  47. Babikir, Ali & Gupta, Rangan & Mwabutwa, Chance & Owusu-Sekyere, Emmanuel, 2012. "Structural breaks and GARCH models of stock return volatility: The case of South Africa," Economic Modelling, Elsevier, vol. 29(6), pages 2435-2443.
  48. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
  49. Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004. "Structural changes in volatility and stock market development: Evidence for Spain," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1745-1773, July.
  50. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2012. "A new fluctuation test for constant variances with applications to finance," Metrika- International Journal for Theoretical and Applied Statistics, Springer, vol. 75(8), pages 1111-1127, November.
  51. 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.
  52. Fakhfekh, Mohamed & Hachicha, Nejib & Jawadi, Fredj & Selmi, Nadhem & Idi Cheffou, Abdoulkarim, 2016. "Measuring volatility persistence for conventional and Islamic banks: An FI-EGARCH approach," Emerging Markets Review, Elsevier, vol. 27(C), pages 84-99.
  53. 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.
  54. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2016. "Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 96-114.
  55. 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.
  56. Broto, Carmen, 2011. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1424-1434, May.
  57. Martens, Martin & van Dijk, Dick & de Pooter, Michiel, 2009. "Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements," International Journal of Forecasting, Elsevier, vol. 25(2), pages 282-303.
  58. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
  59. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, vol. 173(1), pages 126-142.
  60. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
  61. 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.
  62. 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.
  63. Chun Liu & John M Maheu, 2007. "Are there Structural Breaks in Realized Volatility?," Working Papers tecipa-304, University of Toronto, Department of Economics.
  64. 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.
  65. 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.
  66. 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.
  67. Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
  68. 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 Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 4(3), pages 119-140, December.
  69. Vivian, Andrew & Wohar, Mark E., 2012. "Commodity volatility breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 395-422.
  70. 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.
  71. 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.
  72. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST- An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.
  73. 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.
  74. 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.
  75. Stanislav Anatolyev & Grigory Kosenok, 2011. "Sequential Testing with Uniformly Distributed Size," Working Papers w0123, Center for Economic and Financial Research (CEFIR).
  76. BenSaïda, Ahmed, 2015. "The frequency of regime switching in financial market volatility," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 63-79.
  77. 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.
  78. 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.
  79. 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.
  80. 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.
  81. 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.
  82. 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.
  83. Okur, Mustafa & Cevik, Emrah Ismail, 2013. "Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE," MPRA Paper 71477, University Library of Munich, Germany, revised 2013.
  84. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
  85. 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.
  86. Juncal Cunado & Soojin Jo & Fernando Perez de Gracia, 2015. "Revisiting the Macroeconomic Impact of Oil Shocks in Asian Economies," Staff Working Papers 15-23, Bank of Canada.
  87. Zhang, Dayong & Dickinson, David & Barassi, Marco, 2008. "Volatility Switching in Shanghai Stock Exchange: Does regulation help reduce volatility?," MPRA Paper 70352, University Library of Munich, Germany.
  88. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2015. "Shifts in volatility driven by large stock market shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 130-147.
  89. Ghysels, Eric & Sohn, Bumjean, 2009. "Which power variation predicts volatility well?," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 686-700, September.
  90. Sensoy, Ahmet, 2013. "Dynamic relationship between precious metals," Resources Policy, Elsevier, vol. 38(4), pages 504-511.
  91. 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.
  92. 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.
  93. 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.
  94. 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.
  95. 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, .
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