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- W2068446912 abstract "Persistence is one of the typical characteristics appearing in the volatility of financial time series. According to the recent researches, the volatility persistence may be due to either volatility shifts or long-range dependence. In this paper, we consider residual-based CUSUM tests to distinguish volatility persistence, long-range dependence and volatility shifts in GARCH models. It is observed that this test procedure achieve reasonable powers without a size distortion. Moreover, we employ AIC and BIC criteria to estimate the change points and the number of change points in volatility. We demonstrate the superiority of residual-based CUSUM tests on various Monte Carlo simulations and empirical data analysis." @default.
- W2068446912 created "2016-06-24" @default.
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- W2068446912 date "2014-04-30" @default.
- W2068446912 modified "2023-09-28" @default.
- W2068446912 title "A Numerical Study on CUSUM Test for Volatility Shifts Against Long-Range Dependence" @default.
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- W2068446912 doi "https://doi.org/10.5351/kjas.2014.27.2.291" @default.
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