Structural breaks in volatility: The case of UK sector returns

Applied Financial Economics

Volumn 21, Issue 15, 2011, Pages 1079-1093

  Mcmillan, David G ^a   Wohar, Mark E ^b  

^a UNIVERSITY OF ST ANDREWS   (United Kingdom)

^b UNIVERSITY OF NEBRASKA AT OMAHA   (United States)

Author keywords

Garch model; Market model; Persistence; Structural breaks; Volatility

Indexed keywords

ALGORITHM; ECONOMETRICS; NUMERICAL MODEL; PRICE DYNAMICS; STOCK MARKET;

UNITED KINGDOM;

EID: 79960823080     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603107.2011.564131     Document Type: Article

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