Structural Breaks in Financial Time Series
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Publication:3646984
DOI10.1007/978-3-540-71297-8_37zbMath1178.91217MaRDI QIDQ3646984
Publication date: 27 November 2009
Published in: Handbook of Financial Time Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_37
long memory; GARCH; financial time series; structural break; IGARCH; change-point test; functional central limit theorem (FCLT); empirical volatility; geometric volatility
91G70: Statistical methods; risk measures
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
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