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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

References

  • Inclán , C. and Tiao , G. C. 1994 . Use of cumulative sums of squares for retrospective detection of changes of variance . Journal of the American Statistical Association , 89 : 913 – 923 .
  • Li , Dong , Lin , S. K. and Li , C. 1997 . The impact of settlement time on the volatility of stock markets . Applied Financial Economics , 7 : 689 – 694 .

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