Searching for Periods of Volatility: A Study of Behavior of Volatility in Thai Stocks

This paper improves the precision of the useful new procedure of Inclán and Tiao (1994) that estimates variance shift points in a time series. It accomplishes this by incorporating the evidence of Bos and Fetherston (1992) that the linear Brown, Durbin, and Evans (Brown et al., 1975) critical CUSUM...

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Bibliographic Details
Main Authors: Bos, Theodore, DING, David K., Fetherston, Thomas A.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1997
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/757
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Institution: Singapore Management University
Language: English