Sanso_et_al-ICSS

GAUSS implementation of the ICSS calculation routines from Sansó et al. "Testing for Changes in the Unconditional Variance of Financial Time Series", provided from Dr. Sansó (2019-03-07)

https://www.researchgate.net/publication/24138907_Testing_for_Changes_in_the_Unconditional_Variance_of_Financial_Time_Series

by

Andreu Sansó, Vicent Aragó and Josep Lluís Carrion-i-Silvestre (code author)

icss.zip holds the complete content

extracted to the /icss/ folder

datasets are copied to the /datasets/