Quasi-maximum likelihood estimation for multiple volatility shifts

DOI10.1016/J.SPL.2013.12.007MaRDI QIDQ2452776zbMATH OpenOpenAlexFDO

Authors Moosup Kim, Taewook Lee, Jungsik Noh, Changryong Baek

Publication date 5 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2013.12.007

zbMATH Keywords

quasi-maximum likelihood estimationchange point analysisvolatility shifts

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 1034049 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• A critical look at Lo's modified \(R/S\) statistic.
• Break detection for a class of nonlinear time series models
• Change-point estimation in ARCH models
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimating the number of change-points via Schwarz' criterion
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Least-squares estimation of an unknown number of shifts in a time series
• Long memory and regime switching
• Modelling the persistence of conditional variances
• Neglecting parameter changes in GARCH models
• Structural breaks in time series

Cited in

(1)

• Analytical quasi maximum likelihood inference in multivariate volatility models

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