Fourier methods for analyzing piecewise constant volatilities (Q1622108): Difference between revisions

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+Recursive computation of piecewise constant volatilities
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+Limiting behavior of the ICF test for normality under Gram-Charlier alternatives
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+On the online estimation of local constant volatilities
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+Permutation, parametric and bootstrap tests of hypotheses.
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+Non-Stationary Samples and Meta-Distribution
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+Monitoring changes in the error distribution of autoregressive models based on Fourier methods
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+Fourier–type tests involving martingale difference processes
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+Change point analysis based on empirical characteristic functions
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+Change-Point Analysis Based on Empirical Characteristic Functions of Ranks
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+Detection and estimation of abrupt changes in the variability of a process
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+Goodness-of-fit tests based on empirical characteristic functions
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+Q4131338
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+A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data
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+Permutation tests for homogeneity based on the empirical characteristic function
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+The probability weighted characteristic function and goodness-of-fit testing
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+Statistical inference for time-inhomogeneous volatility models.
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+On the Asymptotic Efficiency of Certain Nonparametric Two-Sample Tests
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+A Non‐parametric <scp>ANOVA</scp>‐type Test for Regression Curves Based on Characteristic Functions
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+Characteristic Function-based Semiparametric Inference for Skew-symmetric Models
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+Multiscale local change point detection with applications to value-at-risk
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+Decoupling change-point detection based on characteristic functions: methodology, asymptotics, subsampling and application
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+On the choice of the smoothing parameter for the BHEP goodness-of-fit test
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+Q3948492
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+A new fluctuation test for constant variances with applications to finance
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