Power monotonicity in detecting volatility levels change (Q2446476)
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scientific article; zbMATH DE number 6286420
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| default for all languages | No label defined |
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| English | Power monotonicity in detecting volatility levels change |
scientific article; zbMATH DE number 6286420 |
Statements
Power monotonicity in detecting volatility levels change (English)
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17 April 2014
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CUSUM test
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IGARCH effect
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LM test
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non-monotonic power
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structural change
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volatility models
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0.8615067601203918
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0.8381772041320801
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0.8374642133712769
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0.8025938868522644
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0.802148699760437
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