Breaks and outliers when modelling the volatility of the U.S. stock market
Author:
Affiliation:
1. Department of Economics, University of Patras, University Campus, Rio, Greece
2. Aston Business School, Aston University, Birmingham, United Kingdom
Funder
University of Patras, Greece
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2017.1293785
Reference62 articles.
1. Volatility in Emerging Stock Markets
2. Robust outlier detection for Asia–Pacific stock index returns
3. Journal of Applied Econometrics
4. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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