Article citationsMore>>

Newey, W.K. and West, K.D. (1994) Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic Studies, 61, 631-654.
http://dx.doi.org/10.2307/2297912

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.