Detecting periods in which a time series model fails to predict the observed volatility

DOI10.1007/BF03354604zbMath1041.62085OpenAlexW2085588000MaRDI QIDQ1424645

Andreas Stadie

Publication date: 16 March 2004

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03354604

zbMATH Keywords

CUSUMchange-point detectionBos-Ding-Fetherston algorithmcumulative sum of squaresCUSUMSQpseudo-residuals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• R
• Algorithm 761

Cites Work

• A comparison of several time-series models for assessing the value at risk of shares
• A Method of Bivariate Interpolation and Smooth Surface Fitting for Irregularly Distributed Data Points
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Algorithm 761: Scattered-data surface fitting that has the accuracy of a cubic polynomial
• Asymptotically exact confidence intervals of cusum and cusumsq tests: a numerical derivation using simulation technique
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Detecting periods in which a time series model fails to predict the observed volatility