Do structural breaks in volatility cause spurious volatility transmission?

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

Spurious Volatility in Historical Unemployment Data

This paper shows that the stabilization of the unemployment rate-between the pre-1930 and post-1948 eras is an artifact of improvements in data collection procedures. Prewar methods are used to construct postwar unemployment data that are consistent with the historical data. The constructed postwar series is nearly as volatile as the pre-1930 unemployment data. The constructed postwar data are ...

the influence of structural changes in volatility on shock transmission and volatility spillover among iranian gold and foreign exchange markets

A comparative Study of Volatility Breaks

In this paper we evaluate the performance of several structural break tests under various DGPs. Concretely we look at size and power properties of CUSUM based, LM and Wald volatility break tests. In a simulation study we derive the properties of the tests under shifts in the unconditional and conditional variance as well as for smooth shifts in the volatility process. Our results indicate that ...

Spurious Jump Detection and Intraday Changes in Volatility

We investigate the properties of several nonparametric tests for jumps in financial markets. We derive a theoretical property of these tests not observed in any of the previous literature: when they are applied to finitely sampled data, they are generally biased toward finding too many jumps. This results from bias in finite-sample estimation of several important test components. The severity o...