Are there structural breaks in realized volatility?

Journal of Financial Econometrics

Volumn 6, Issue 3, 2008, Pages 326-360

  Liu, Chun ^a   Maheu, John M ^b  

^a Tsinghua University   (China)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Change point; GARCH; Gibbs sampling; Marginal likelihood; Realized volatility

Indexed keywords

EID: 45149121673     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbn006     Document Type: Article

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