Modelling financial volatility in the presence of abrupt changes

Physica A: Statistical Mechanics and its Applications

Volumn 392, Issue 2, 2013, Pages 350-360

  Ross, Gordon J ^a  

^a UNIVERSITY OF BRISTOL   (United Kingdom)

Author keywords

Change detection; GARCH; Nonparametric statistics; Volatility modeling

Indexed keywords

BEHAVIORAL RESEARCH;

CHANGE DETECTION; GARCH; NEW APPROACHES; NON-PARAMETRIC STATISTICS; PRICE MOVEMENT; STRUCTURAL BREAK; VOLATILITY CLUSTERING; VOLATILITY MODELING;

STATISTICS;

EID: 84867887011     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2012.08.015     Document Type: Article

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