Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility

DOI10.1016/j.jeconom.2007.10.001zbMath1418.62152MaRDI QIDQ291114

Yong Zhou, Gongmeng Chen, Yoon K. Choi

Publication date: 6 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.10.001

zbMATH Keywords

kernel estimation; change points; nonparametric regression; \(\alpha\)-mixing; wavelet coefficient; conditional heteroscedastic variance; local polynomial smoother

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G08: Nonparametric regression and quantile regression

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

MOSUM monitoring for variance change in nonparametric regression models, Change point estimation in regression model with response missing at random, Ratio tests for variance change in nonparametric regression, Wavelet Analysis of Change Points in Nonparametric Hazard Rate Models Under Random Censorship, Testing for change points in partially linear models, Asymptotic distribution of the jump change-point estimator, Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance, Jump detection in time series nonparametric regression models: a polynomial spline approach, Identification and wavelet estimation of weighted ATE under discontinuous and kink incentive assignment mechanisms, Forecasting volatility with support vector machine-based GARCH model, Wavelet detection of change points in hazard rate models with censored dependent data

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