Detecting Structural Changes in Time Series by Using the BDS Test Recursively: An Application to COVID-19 Effects on International Stock Markets
Structural change tests aim to identify evidence of a structural break or change in the underlying generating process of a time series. The BDS test has its origins in chaos theory and seeks to test, using the correlation integral, the hypothesis that a time series is generated by an identically and...
Main Authors: | Lorenzo Escot, Julio E. Sandubete, Łukasz Pietrych |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2023-12-01
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Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/11/23/4843 |
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