Detection of a structural break in intraday volatility pattern

DOI10.1016/J.SPA.2024.104426MaRDI QIDQ6615474zbMATH OpenFDO

Authors Piotr Kokoszka, Tim Kutta, Neda Mohammadi, Haonan Wang, Shixuan Wang

Publication date 8 October 2024

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPA.2024.104426

zbMATH Keywords

change pointfunctional dataintraday volatilityItô integral

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10)

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Cited in

(1)

• On the modified information-based approach to the change point detection (CPD) problem under the non-central skew t distribution

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