The impact of settlement time on the volatility of stock market revisited: An application of the iterated cumulative sums of squares detection method for changes of variance

Applied Economics Letters

Volumn 8, Issue 10, 2001, Pages 665-668

  Huang, Bwo Nung ^a   Yang, Chin Wei ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 4744360179     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850110036346     Document Type: Article

References (2)

1. Inclán, C. and Tiao, G. C., (1994) Use of cumulative sums of squares for retrospective detection of changes of variance, Journal of the American Statistical Association, 89, 913-23.
2. Li, Dong, Lin, S. K. and Li. C., (1997) The impact of settlement time on the volatility of stock markets, Applied Financial Economics, 7, 689-94.