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Applied Economics Letters Volume 8, 2001 - Issue 10
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Original Articles

The impact of settlement time on the volatility of stock market revisited: an application of the iterated cumulative sums of squares detection method for changes of variance

Bwo-Nung Huang
&
Chin-Wei Yang
Pages 665-668 | Published online: 06 Oct 2010

Citations (9)

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Read on this site (3)

Davide De Gaetano. (2020) A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test. Journal of Statistical Computation and Simulation 90:5, pages 907-924.
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Po-Kai Huang. (2012) Volatility transmission across stock index futures when there are structural changes in return variance. Applied Financial Economics 22:19, pages 1603-1613.
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José Luis Miralles Marcelo, José Luis Miralles Quirós & María del Mar Miralles Quirós. (2008) Sudden shifts in variance in the Spanish market: persistence and spillover effects. Applied Financial Economics 18:2, pages 115-124.
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Articles from other publishers (6)

Lanouar Charfeddine. (2014) True or spurious long memory in volatility: Further evidence on the energy futures markets. Energy Policy 71, pages 76-93.
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Gagari Chakrabarti & Chitrakalpa SenGagari Chakrabarti & Chitrakalpa Sen. 2013. Momentum Trading on the Indian Stock Market. Momentum Trading on the Indian Stock Market 5 53 .
Gagari Chakrabarti & Chitrakalpa SenGagari Chakrabarti & Chitrakalpa Sen. 2012. Anatomy of Global Stock Market Crashes. Anatomy of Global Stock Market Crashes 7 25 .
Vicent Aragó & Enrique Salvador. (2011) Sudden changes in variance and time varying hedge ratios. European Journal of Operational Research 215:2, pages 393-403.
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José Luis Miralles Marcelo, José Luis Miralles Quirós & María del Mar Miralles Quirós. (2008) Asymmetric variance and spillover effects. Journal of International Financial Markets, Institutions and Money 18:1, pages 1-15.
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Wei-Chiao Huang & Yuanlei Zhu. (2011) Are Shocks Asymmetric to Volatility of Chinese Stock Markets?. Review of Pacific Basin Financial Markets and Policies 07:03, pages 379-395.
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