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March 12, 2021Journal of Financial EconometricsOpen Access

CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility

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Authors

SASam AstillUniversity of EssexDHDavid I. HarveyUniversity of NottinghamSLStephen J. LeybourneUniversity of Nottingham

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Astill et al. (2021) studied this question.

synapsesocial.com/papers/69d12b1f162ce73486195da3https://doi.org/10.1093/jjfinec/nbab009
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