Sanso, A., Arago, V. and Carrion, J.L. (2004) Testing for Change in the Unconditional Variance of Financial Time Series. Revista de Economiá Financiera, 4, 32-53.
has been cited by the following article:
TITLE: On Detecting Sudden Changes in the Unconditional Volatility of a Time Series
AUTHORS: Dilip Kumar
KEYWORDS: AIT-ICSS Algorithm, Long Memory, Sudden Change, Volatility
JOURNAL NAME: Theoretical Economics Letters, Vol.6 No.2, April 26, 2016
ABSTRACT: The present study highlights the drawback of using Sanso, Arago and Carrion’s (2004) AIT-ICSS algorithm in detecting sudden changes in the unconditional volatility when long memory is present in volatility. Simulation experiments show that the AIT-ICSS test is severely oversized and exhibits low power when long memory is present in volatility.