Detecting Structural Breaks and Outliers for Volatility Data via Impulse Indicator Saturation
The existence of structural breaks and outliers are two components commonly appear in volatility data, especially in financial data. However, their presence is often treated separately using different methods. This led to inconsistent results due to different assumptions and procedures involved. The...
| Published in: | Studies in Systems, Decision and Control |
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| Main Author: | |
| Format: | Book chapter |
| Language: | English |
| Published: |
Springer Science and Business Media Deutschland GmbH
2022
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| Online Access: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85140216176&doi=10.1007%2f978-3-031-04028-3_42&partnerID=40&md5=3890f5e93a6135734d3bf7f15d30e2eb |