Tests for Breaks in the Conditional Co-movements of Asset Returns *

  title={Tests for Breaks in the Conditional Co-movements of Asset Returns *},
  author={Elena Andreou and Eric Ghysels},
We propose procedures designed to uncover structural breaks in the co-movements of financial markets. A reduced form approach is introduced that can be considered as a two-stage method for reducing the dimensionality of multivariate heteroskedastic conditional volatility models through marginalization. The main advantage is that one can use returns normalized by volatility filters that are purely data-driven and construct general conditional covariance dynamic specifications. The main thrust of… CONTINUE READING

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