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Financial Internet Quarterly
Volume 11 (2015): Issue 1 (March 2015)
Open Access
Selected Techniques of Detecting Structural Breaks in Financial Volatility
Bartosz Stawiarski
Bartosz Stawiarski
| Feb 08, 2017
Financial Internet Quarterly
Volume 11 (2015): Issue 1 (March 2015)
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Published Online:
Feb 08, 2017
Page range:
32 - 43
Received:
Sep 30, 2014
Accepted:
May 18, 2015
DOI:
https://doi.org/10.1515/fiqf-2016-0104
Keywords
volatility
,
structural breaks
,
financial time series
,
logarithmic returns
,
Threshold-GARCH model
© 2017
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
Bartosz Stawiarski
Cracow University of Technology,
Poland