Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
DOI10.1016/J.JECONOM.2007.10.001zbMATH Open1418.62152OpenAlexW2026734719MaRDI QIDQ291114FDOQ291114
Authors: Gongmeng Chen, Yoon K. Choi, Yong Zhou 
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
Recommendations
- Detection of change points in volatility of non-parametric regression by wavelets
- Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
- Detection of the jump points of a heteroscedastic regression model by wavelets
- Detection of jumps by wavelets in a heteroscedastic autoregressive model
- Wavelet estimation for jumps in a heteroscedastic regression model
kernel estimationnonparametric regression\(\alpha\)-mixingchange pointslocal polynomial smootherconditional heteroscedastic variancewavelet coefficient
Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Title not available (Why is that?)
- Efficient estimation of conditional variance functions in stochastic regression
- Title not available (Why is that?)
- Title not available (Why is that?)
- Minimax estimation of sharp change points
- On some global measures of the deviations of density function estimates
- Ten Lectures on Wavelets
- Jump and sharp cusp detection by wavelets
- An equilibrium characterization of the term structure
- Asymptotic maximal deviation of M-smoothers
- MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
- On Minimax Estimation of a Discontinuous Signal
- Residual variance and residual pattern in nonlinear regression
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Option pricing when underlying stock returns are discontinuous
- Change-points in nonparametric regression analysis
- Local polynomial estimators of the volatility function in nonparametric autoregression
- Nonparametric inference on structural breaks
- Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
- Singularity detection and processing with wavelets
- Title not available (Why is that?)
- ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
- Title not available (Why is that?)
- Nonparametric Pricing of Interest Rate Derivative Securities
- An Intertemporal General Equilibrium Model of Asset Prices
- Coincidence probabilities
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Asymptotic normality for \(L_1\) norm kernel estimator of conditional median under \(\alpha\)-mixing dependence
- Approximations for hybrids of empirical and partial sums processes
- Threshold variable selection by wavelets in open-loop threshold autoregressive models
- A yield-factor model of interest rates.
- Title not available (Why is that?)
- Exact solutions for bond and option prices with systematic jump risk
- Testing for Structural Change in Dynamic Models
- Change Curve Estimation via Wavelets
- Bias-corrected Confidence Bands in Nonparametric Regression
- Title not available (Why is that?)
- Title not available (Why is that?)
- Detecting Abrupt Changes by Wavelet Methods
- A cusum test in the linear regression model with serially correlated disturbances
- Do option markets correctly price the probabilities of movement of the underlying asset?
Cited In (14)
- MOSUM monitoring for variance change in nonparametric regression models
- Change point estimation in regression model with response missing at random
- Asymptotic distribution of the jump change-point estimator
- Identification and wavelet estimation of weighted ATE under discontinuous and kink incentive assignment mechanisms
- Testing for change points in partially linear models
- Detection of jumps by wavelets in a heteroscedastic autoregressive model
- Ratio tests for variance change in nonparametric regression
- Wavelet detection of change points in hazard rate models with censored dependent data
- 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
- Detection of change points in volatility of non-parametric regression by wavelets
- Wavelet analysis of change points in nonparametric hazard rate models under random censorship
- Wavelet identification of structural change points in volatility models for time series
- Forecasting volatility with support vector machine-based GARCH model
This page was built for publication: Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q291114)
