Detecting structural breaks in realized volatility (Q1727922)
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scientific article; zbMATH DE number 7027264
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Detecting structural breaks in realized volatility |
scientific article; zbMATH DE number 7027264 |
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Detecting structural breaks in realized volatility (English)
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21 February 2019
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realized volatility
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HAR-GARCH model
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long-memory process
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parameter change test
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score test
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0.8308976292610168
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0.8257356286048889
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0.8182794451713562
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0.8095706105232239
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