𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Structural Changes in Expected Stock Returns Relationships: Evidence from ASE

✍ Scribed by Evangelos Karanikas; George Leledakis; Elias Tzavalis


Book ID
111105820
Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
251 KB
Volume
33
Category
Article
ISSN
0306-686X

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Multiple structural changes in the tail
✍ C.-H. Lin; T.-C. Kao 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 305 KB

The study provides an approach of nonlinear analysis for detecting multiple structural changes in the tails of financial returns distributions. The proposed approach can simultaneously determine the number of structural breaks in a series of tail-indexes and estimate the mean tail-index levels in di