Adaptive detection of multiple change-points in asset price volatility (Q3400726)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5666930
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Adaptive detection of multiple change-points in asset price volatility |
scientific article; zbMATH DE number 5666930 |
Statements
5 February 2010
0 references
change-point analysis
0 references
autocorrelation function
0 references
penalty function
0 references
binary segmentation
0 references
FTSE 100
0 references
0.818560779094696
0 references
0.8014125823974609
0 references
0.7834792733192444
0 references
0.778508722782135
0 references
0.7766843438148499
0 references
