Searching for Periods of Volatility: A Study of the 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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
1998
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1166 https://ink.library.smu.edu.sg/context/lkcsb_research/article/2165/viewcontent/1_s2.0_S0927538X98000146_main.pdf |
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| Institution: | Singapore Management University |
| Language: | English |