Detecting multiple breaks in financial m
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Elena Andreou; Eric Ghysels
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Article
📅
2002
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John Wiley and Sons
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English
⚖ 183 KB
## Abstract The paper evaluates the performance of several recently proposed tests for structural breaks in the conditional variance dynamics of asset returns. The tests apply to the class of ARCH and SV type processes as well as data‐driven volatility estimators using high‐frequency data. In addit