SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Modelling financial volatility in the presence of abrupt changes · Study

ArticleShelves

ArticleModelling financial volatility in the presence of abrupt changes

Gordon J. Ross2012

OA

Articlegreen2012

Modelling financial volatility in the presence of abrupt changes

47 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 47 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Modern Portfolio Theory and Investment Analysis.1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1994Autoregressive conditional heteroskedasticity and changes in regime 1996Modeling the conditional distribution of interest rates as a regime-switching process 2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance 1999Scaling of the distribution of fluctuations of financial market indices

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2011Estimating the impact of good news on stock market volatilityarticle · 6 shared references 2012Powerful tests for structural changes in volatilityarticle · 6 shared references 2019Multifractal analysis of financial markets: a reviewarticle · 5 shared references 2015Volatility spillovers between oil prices and the stock market under structural breaksarticle · 5 shared references 2008Glossary to ARCH (GARCH)preprint · 5 shared references 2013Volatility persistence in crude oil marketsarticle · 5 shared references

Details

Year2012

Typearticle

Published2012-09-10

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations47

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.physa.2012.08.015

openalex_workW2089627747

Links

Imported from OpenAlex (CC0) — nothing here is generated.