Recursive computation of piecewise constant volatilities

DOI10.1016/J.CSDA.2010.06.027MaRDI QIDQ1927142zbMATH OpenOpenAlexFDO

Authors Christian Höhenrieder, Laurie Davies, Walter Krämer

Publication date 30 December 2012

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2010.06.027

zbMATH Keywords

heteroskedasticitystock returnsvolatility

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• An adaptive algorithm for least squares piecewise monotonic data fitting
• Consistencies and rates of convergence of jump-penalized least squares estimators
• Detection of multiple change-points in multivariate time series
• Detection of multiple changes in a sequence of dependent variables
• Estimating and Testing Linear Models with Multiple Structural Changes
• Least-squares estimation of an unknown number of shifts in a time series
• Local extremes, runs, strings and multiresolution. (With discussion)
• Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions
• Nonparametric regression, confidence regions and regularization
• Statistical inference for time-inhomogeneous volatility models.

Cited in

(9)

• FDR-control in multiscale change-point segmentation
• Fourier methods for analyzing piecewise constant volatilities
• Multiscale blind source separation
• A binary search algorithm for univariate data approximation and estimation of extrema by piecewise monotonic constraints
• Multiscale change-point segmentation: beyond step functions
• Separation theorems for the extrema of best piecewise monotonic approximations to successive data
• Multiscale change point inference. With discussion and authors' reply
• Multiscale Quantile Segmentation
• On the online estimation of local constant volatilities

Describes a project that uses

Uses Software

• ftnonpar

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