Browsing NHH Brage by Author "Bjerkseth, Øyvind Sten"

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Volatility on Oslo Stock Exchange : structural breakpoints in volatility using the ICSS algorithm

Bjerkseth, Øyvind Sten (Master thesis, 2006)

This thesis uses the Iterative Cumulative Sum of Squares (ICSS) algorithm (Inclán and Tiao, 1994) to search for structural breakpoints in volatility in the Norwegian stock market. I analyze data both with the original ...