Detecting structural breaks in realized volatility
type: Item
instance of: scholarly article
title: Detecting structural breaks in realized volatility
author: Junmo Song
author: Changryong Baek
published in: Computational Statistics and Data Analysis
publication date: 2019-02-21T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7027264
zbMATH Keywords: realized volatility
zbMATH Keywords: HAR-GARCH model
zbMATH Keywords: long-memory process
zbMATH Keywords: parameter change test
zbMATH Keywords: score test
MaRDI profile type: Publication
full work available at URL: j.csda.2018.12.007
OpenAlex ID: W2906128065
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DOI: 10.1016/J.CSDA.2018.12.007
Wikidata QID: Q128776163
description: scientific article; zbMATH DE number 7027264