Detecting structural changes using wavelets

•We develop a wavelet structural break test.•We establish limiting distribution of the test.•We analyze the size and power properties of the test in a simulation study.•We show that the test has a reasonable size and substantial power.•The power is significantly higher compared to alternatives when...

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Veröffentlicht in:	Finance research letters 2015-02, Vol.12, p.23-37
Hauptverfasser:	Yazgan, M. Ege, Özkan, Harun
Format:	Artikel
Sprache:	eng
Schlagworte:	Econometrics Maximum overlap discrete wavelet transformation Probability distribution Research methodology Structural adjustment Structural break tests Structural change tests Studies Waveform analysis Wavelets
Online-Zugang:	Volltext
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