The impact of major global events on volatility shifts: Evidence from the Asian crisis and 9/11

Economic Systems

Volumn 30, Issue 1, 2006, Pages 79-97

  Fernandez, Viviana ^a  

^a UNIVERSITY OF CHILE   (Chile)

Author keywords

ICSS algorithm; Volatility breakpoints; Wavelets

Indexed keywords

EID: 33646472442     PISSN: 09393625     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ecosys.2005.09.004     Document Type: Article

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