Structural breaks in time series
Author:
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9892.2012.00819.x/fullpdf
Reference126 articles.
1. Time dependent spectral analysis of non-stationary time series;Adak;Journal of the American Statistical Association,1998
2. Strong rules for detecting the number of breaks in a time series;Altissimo;Journal of Econometrics,2003
3. Detecting multiple breaks in financial market volatility dynamics;Andreou;Journal of Applied Econometrics,2002
4. Structural Breaks in Financial Time Series
5. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991
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