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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1997
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/757 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |