1997
DOI: 10.2139/ssrn.1689711
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Volatility in Emerging Stock Markets

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Cited by 157 publications
(207 citation statements)
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“…The ICSS approach assumes that return series exihibit a stationary variance over an initial period until a sudden change in variance occurs and then stationary again for a time until the next sudden change. This process is repeated through time, yielding a number of changes in the variance (Aggarwal et al, 1999). …”
Section: Identifying Crisis Datesmentioning
confidence: 99%
See 1 more Smart Citation
“…The ICSS approach assumes that return series exihibit a stationary variance over an initial period until a sudden change in variance occurs and then stationary again for a time until the next sudden change. This process is repeated through time, yielding a number of changes in the variance (Aggarwal et al, 1999). …”
Section: Identifying Crisis Datesmentioning
confidence: 99%
“…If there are no changes in variance over the sample period, the D k statistic oscillates around zero and asymptotically, behaves as a standard Brownian motion (Inclan and Tiao, 1994). 5 If there are one or more sudden variance changes in the series, the D k values drift either up or down from zero (Aggarwal et al, 1999). 6 Sanso et al (2004) offer modifications to the ICSS algorithm incorporating heteroskedasticity and fourth moment properties of financial data.…”
Section: Identifying Crisis Datesmentioning
confidence: 99%
“…Aggarwal, Inclan, and Leal (1995); Bekaert andHarvey (1995, 1997); Buckberg (1995) ;Claessens, Dasgupta, and Glen (1995);Harvey (1995); Korajczyk (1996);and DeSantis and Imrohoroglu (1997).…”
Section: Sample Descriptionmentioning
confidence: 99%
“…Throughout the paper we refer to ∆p t as returns, given that our data series is adjusted for dividends, though it literally corresponds to capital gains. Most of the parallel studies (Pagan and Sossounov, 2003;Aggarwal et al, 1999) use capital gains of dividend adjusted prices, and we follow that approach. Two ancillary statistics can then be calculated: Total time spent in an expansion is P T t=1 S t and total time spent in a contraction is P T t=1 B t .…”
Section: Describing Bull and Bear Phasesmentioning
confidence: 99%