References
- Andreou , E. and Ghysels , E. 2002 . Detecting multiple breaks in financial market volatility dynamics . Journal of Applied Econometrics , 17 : 579 – 600 .
- Bai , J. and Perron , P. 1998 . Estimating and testing linear models with multiple structural changes . Econometrica , 66 : 47 – 78 .
- Banerjee , A. , Lumsdaine , R. L. and Stock , J. H. 1992 . Recursive and sequential tests of the unit-root and trend-break hypotheses: theory and international evidence . Journal of Business and Economic Statistics , 10 : 271 – 88 .
- Bordo , M. D. , Dueker , M. J. and Wheelock , D. C. 2003 . Aggregate price shocks and financial stability: the United Kingdom 1796–1999 . Explorations in Economic History , 40 : 143 – 69 .
- Brown , W. O. Jr , Burdekin , R. C. K. and Weidenmier , M. D. 2006 . Volatility in an era of reduced uncertainty: lessons from Pax Britannica . Journal of Financial Economics , 79 : 693 – 707 .
- Burns , A. F. and Mitchell , W. C. 1946 . Measuring Business Cycles , New York : National Bureau of Economic Research .
- den Haan , W. and Levin , A. 1997 . “ A practitioner's guide to robust covariance matrix estimation ” . In Handbook of Statistics 15 , Edited by: Maddala , G. S. and Rao , C. R. 299 – 342 . Amsterdam : North-Holland .
- Friedman , M. and Schwartz , A. J. 1982 . Monetary Trends in the United States and the United Kingdom, Their Relation to Incomes, Prices, and Interest Rates, 1867–1975 , Chicago : The University of Chicago Press .
- Inclán , C. and Tiao , G. C. 1994 . Use of cumulative sums of squares for retrospective detection of changes in variance . Journal of the American Statistical Association , 89 : 913 – 23 .
- Klovland , J. T. 1994 . Pitfalls in the estimation of the yield on British Consols, 1850–1914 . Journal of Economic History , 54 : 164 – 87 .
- Kokoszka , P. and Leipus , R. 1998 . Change-point in the mean of dependent observations . Statistics and Probability Letters , 40 : 385 – 93 .
- Kokoszka , P. and Leipus , R. 1999 . Testing for parameter changes in ARCH models . Lithuanian Mathematical Journal , 39 : 231 – 47 .
- Kokoszka , P. and Leipus , R. 2000 . Change-point estimation in ARCH models . Bernoulli , 6 : 513 – 39 .
- Newey , W. and West , K. 1987 . A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 8 .
- Rodrigues , P. M. M. and Rubia , A. 2007 . Testing for structural breaks in variance with additive outliers and measurement errors, Fundación de Cajas de Ahorros, Working Paper. ,
- Yoon , G. 2008 . The 1997 Asian financial crisis and the persistence of exchange rate return volatility, Working paper, Kookmin University, Seoul, South Korea. ,
- Yoon , G. 2009 . Was the yield on Consols really the representative long-term British interest rate? , forthcoming