Fourier methods for analyzing piecewise constant volatilities

DOI10.1007/s10182-017-0288-1zbMath1443.62121OpenAlexW2508034108MaRDI QIDQ1622108

Y. Aharonov

Publication date: 12 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-017-0288-1

zbMATH Keywords

independenceweight functionvariancechange point analysispiecewise identical distribution

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

On variance estimation under shifts in the mean ⋮ An asymptotic test for constancy of the variance under short-range dependence

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