| dc.description.abstract | 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 method, and with a revised version by Bacmann and
Dubois (2001).
I also analyze the stock markets in the other Scandinavian countries, a European index, the
US stock market, the oil market and exchange rates. I then state tentative explanations for
the breakpoints.
I present a problem with the algorithm; the number of, and dating of breakpoints in a period
is dependent on the choice of time period. I also show that the algorithm has problems
discovering breaks occurring in the beginning or end of the time series. Through
simulations, I show that the algorithm almost always fails to discover the correct number of
breakpoints when there are several breaks quite close in time. | en |
