Nonparametric estimation of structural change points in volatility models for time series

DOI10.1016/J.JECONOM.2004.02.008MaRDI QIDQ262749zbMATH OpenOpenAlexFDO

Authors Gongmeng Chen, Yoon K. Choi, Yong Zhou

Publication date 30 March 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2004.02.008

zbMATH Keywords

asymptotic propertiesnonparametric estimationleast squareschange points in volatility

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Stochastic models in economics (91B70)

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Cites work

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Cited in

(26)

• Statistical inference for the shape parameter change-point estimator in negative associated gamma distribution
• Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
• Asymptotic distribution of the jump change-point estimator
• Statistical inference for semiparametric varying-coefficient partially linear models with error-prone linear covariates
• Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes
• Nonparametric statistical analysis of structural change points in volatility models for dependent time series
• Estimating change points in nonparametric time series regression models
• Adaptive jump-preserving estimates in varying-coefficient models
• Monitoring variance change in infinite order moving average processes and nonstationary autoregressive processes
• Ratio tests for variance change in nonparametric regression
• Least-squares change-point estimation for the telegraph process observed at discrete times
• Analysis of time series with multiple shifts of levels and volatilities
• Change point estimators by local polynomial fits under a dependence assumption
• Nonparametric semirecursive identification in a wide sense of strong mixing processes
• Inference for a change-point problem under an OU setting with unequal and unknown volatilities
• Nonparametric analysis of the Shenzhen stock market: the day of the week effect
• Estimation for the change point of volatility in a stochastic differential equation
• Unstable volatility: the break-preserving local linear estimator
• CUSUM methods for monitoring structural changes in structural equations
• Nonparametric change-point analysis of volatility
• Testing for a change of the innovation distribution in nonparametric autoregression: the sequential empirical process approach
• Spurious regression due to neglected of non-stationary volatility
• On change-point detection in volatile series using GARCH models
• Wavelet identification of structural change points in volatility models for time series
• Off-line testing for a changed segment in the sample variance
• Adaptive likelihood estimator of conditional variance function

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