Testing and Locating Variance Changepoints with Application to Stock Prices
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Publication:4366255
DOI10.2307/2965722zbMath1090.62565OpenAlexW4249528953MaRDI QIDQ4366255
Publication date: 1997
Full work available at URL: https://doi.org/10.2307/2965722
Hypothesis testingConsistencyAsymptotic distributionInformation criterionUnbiased estimatorCumulative sumReturn series
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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