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Volumn 135, Issue 1-2, 2006, Pages 77-124

Monitoring disruptions in financial markets

Author keywords

Boundary crossing; Brownian bridge; CUSUM; GARCH; High frequency data; Local power; Power variation; Quadratic variation; Sequential tests; Structural change

Indexed keywords

BOUNDARY CROSSING; BROWNIAN BRIDGE; CUSUM; GARCH; HIGH-FREQUENCY DATA; LOCAL POWER; POWER VARIATION; QUADRATIC VARIATION; SEQUENTIAL TESTS; STRUCTURAL CHANGE;

EID: 33747888277     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.07.023     Document Type: Article
Times cited : (54)

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