The effect of circuit breakers on expected volatility: Tests using implied volatilities
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance
Link
http://link.springer.com/content/pdf/10.1007/BF02298379.pdf
Reference21 articles.
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3. Box, G. E. P.; Tiao, G. C. "Intervention Analysis with Applications to Economic and Environmental Problems,"Journal of the American Statistical Association, 70, 349, March 1975, pp. 70–9.
4. Dickey, David A.; Fuller, Wayne A. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,"Econometrica, 49, 4, June 1981, pp. 1057–72.
5. __. "Distributions of the Estimators for Autoregressive Time Series with a Unit Root,"Journal of the American Statistical Society, 74, 366, June 1979, pp. 427–31.
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