Recursive computation of piecewise constant volatilities

DOI10.1016/j.csda.2010.06.027zbMath1254.91751MaRDI QIDQ1927142

Christian Höhenrieder, Laurie Davies, Walter Kramer

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.06.027

zbMATH Keywords

stock returns; volatility; heteroskedasticity

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62-04: Software, source code, etc. for problems pertaining to statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Separation theorems for the extrema of best piecewise monotonic approximations to successive data, Multiscale Change Point Inference, Multiscale Quantile Segmentation, On the online estimation of local constant volatilities, FDR-control in multiscale change-point segmentation, Fourier methods for analyzing piecewise constant volatilities, Multiscale blind source separation, A binary search algorithm for univariate data approximation and estimation of extrema by piecewise monotonic constraints, Multiscale change-point segmentation: beyond step functions

Uses Software

• ftnonpar

Cites Work

• Detection of multiple changes in a sequence of dependent variables
• Nonparametric regression, confidence regions and regularization
• Modeling stock markets' volatility using GARCH models with normal, Student's \(t\) and stable Paretian distributions
• An adaptive algorithm for least squares piecewise monotonic data fitting
• Consistencies and rates of convergence of jump-penalized least squares estimators
• Local extremes, runs, strings and multiresolution. (With discussion)
• Statistical inference for time-inhomogeneous volatility models.
• Detection of multiple change-points in multivariate time series
• Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
• Estimating and Testing Linear Models with Multiple Structural Changes