[Aggarwal, R., Inclán, C., Leal, R. (1999). Volatility in Emerging Stock Markets. Journal of Financial and Quantitative Analysis 34, 33-55.10.2307/2676245]Open DOISearch in Google Scholar
[Andreou, E., Ghysels, E. (2002). Detecting Multiple Breaks in Financial Market Volatility Dynamics. Journal of Applied Econometrics 17, 579-600.10.1002/jae.684]Search in Google Scholar
[Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics 37, 307-327.10.1016/0304-4076(86)90063-1]Search in Google Scholar
[Cheng, T. L. (2009). An Efficient Algorithm for Estimating a Change-point. Statistics and Probability Letters 79, 559-565.10.1016/j.spl.2008.09.031]Search in Google Scholar
[Covarrubias, G., Ewing, B. T., Hein, S. E., Thompson, M. A. (2006). Modeling Volatility Changes in the 10-year Treasury. Physica A 369, 737-744.10.1016/j.physa.2006.01.074]Search in Google Scholar
[Eckley, I. A., Killick, R., Evans, K., Jonathan, P. (2010). Detection of Changes in Variance of Oceanographic Timeseries Using Changepoint Analysis. Ocean Engineering 37, 1120-1126.10.1016/j.oceaneng.2010.04.009]Search in Google Scholar
[Inclán, C., Tiao, G. C. (1994). Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance. Journal of the American Statistical Association 89, 913-923.]Search in Google Scholar
[Kang, S. H., Cho, H. G., Yoon, S. N. (2009). Modeling Sudden Volatility Changes: Evidence from Japanese and Korean Stock Markets. Physica A 388, 3543-3550.10.1016/j.physa.2009.05.028]Search in Google Scholar
[Kokoszka, P., Leipus, R. (2000). Change-point Estimation in ARCH Models. Bernoulli 6 (3), 513-539.10.2307/3318673]Open DOISearch in Google Scholar
[Mood, A. M. (1954). On the Asymptotic Efficiency of Certain Nonparametric Two-sample Tests. Annals of Mathematical Statistics 25(3), 514-522.10.1214/aoms/1177728719]Open DOISearch in Google Scholar
[Rapach, D., Strauss, J. K. (2008). Structural Breaks and GARCH Models of Exchange Rate Volatility. Journal of Applied Econometrics 23, 65-90.10.1002/jae.976]Search in Google Scholar
[Ross, G. J. (2013). Modeling Financial Volatility in the Presence of Abrupt Changes. Physica A. Statistical Mechanics and its Applications 192(2), 350-360.10.1016/j.physa.2012.08.015]Search in Google Scholar
[Sansó, A., Aragó, V., Carrion-i-Silvestre, J. L. (2004). Testing for Changes in the Unconditional Variance of Financial Time Series. Revista de Economia Financiera 4, 32-53.]Search in Google Scholar
[Xu, K.-L. (2013). Powerful Tests for Structural Changes in Volatility. Journal of Econometrics 173 (1), 126-142. 10.1016/j.jeconom.2012.11.001]Search in Google Scholar