Testing and Locating Variance Changepoints with Application to Stock Prices
From MaRDI portal
Publication:4366255
DOI10.2307/2965722zbMath1090.62565MaRDI QIDQ4366255
Publication date: 1997
Full work available at URL: https://doi.org/10.2307/2965722
Hypothesis testing; Consistency; Asymptotic distribution; Information criterion; Unbiased estimator; Cumulative sum; Return series
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
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