Tests for breaks in the conditional co-movements of asset returns

Statistica Sinica

Volumn 13, Issue 4, 2003, Pages 1045-1073

  Andreou, Elena ^a   Ghysels, Eric ^b  

^a UNIVERSITY OF CYPRUS   (Cyprus)

^b UNIVERSITY OF NORTH CAROLINA   (United States)

Author keywords

Change point tests; Conditional covariance; High frequency financial data; Multivariate GARCH models

Indexed keywords

EID: 0347599235     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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