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    • Detection of Breakpoints in Volatility 

      Fernández Prajoux, Viviana (Universidad de Chile. Facultad de Economía y Negocios, 2004)
      In this article, we test for the presence of structural breaks in volatility by two alternative approaches: the Iterative Cumulative Sum of Squares (ICSS) algorithm and wavelet analysis. Specifically, we look at the ...