1. Strong rules for detecting the number of breaks in a time series;Altissimo;Journal of Econometrics,2003
2. Andersen, T.G., Bollerslev, T., Diebold, F.X., 2003. Parametric and nonparametric volatility measurement. In: Hansen, L.P., Ait-Sahalia, Y. (Eds.), Handbook of Financial Econometrics. North-Holland, Amsterdam, forthcoming.
3. Detecting multiple breaks in financial market volatility dynamics;Andreou;Journal of Applied Econometrics,2002
4. Andreou, E., Ghysels, E., 2003. Quality control for financial risk management. Discussion paper, UNC.
5. The impact of sampling frequency and volatility estimators on change-point tests;Andreou;Journal of Financial Econometrics,2004