Are There Structural Breaks in Realized Volatility?

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Liu, C., and J. M. Maheu. “Are There Structural Breaks in Realized Volatility?”. Journal of Financial Econometrics, vol. 6, no. 3, 2008, pp. 326-60, https://doi.org/10.1093/jjfinec/nbn006.
Liu, C., & Maheu, J. M. (2008). Are There Structural Breaks in Realized Volatility?. Journal of Financial Econometrics, 6(3), 326-360. https://doi.org/10.1093/jjfinec/nbn006
Liu C, Maheu JM. Are There Structural Breaks in Realized Volatility?. Journal of Financial Econometrics. 2008;6(3):326-60.
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Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
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Citations
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A Nonparametric Test for Instantaneous Causality with Time-varying Variances SSRN Electronic Journal 2024
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Change-points and functional features of intraday volatility in China stock market Annals of Operations Research
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Forecasting volatility of Bitcoin Research in International Business and Finance
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Citations Analysis
Category Category Repetition
Social Sciences: Economic theory. Demography: Economics as a science37
Social Sciences: Commerce: Business34
Social Sciences: Finance14
Science: Mathematics13
Science: Mathematics: Probabilities. Mathematical statistics9
Social Sciences: Statistics8
Social Sciences: Commerce: Business: Personnel management. Employment management8
Social Sciences: Commerce: Business: Accounting. Bookkeeping4
Science: Mathematics: Instruments and machines: Electronic computers. Computer science2
Social Sciences: Economic theory. Demography1
Technology: Manufactures: Production management. Operations management1
Technology: Engineering (General). Civil engineering (General)1
Geography. Anthropology. Recreation: Environmental sciences1
The category Social Sciences: Economic theory. Demography: Economics as a science 37 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? and was published in 2008. The most recent citation comes from a 2024 study titled A Nonparametric Test for Instantaneous Causality with Time-varying Variances. This article reached its peak citation in 2017, with 7 citations. It has been cited in 34 different journals, 8% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 9 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year