Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
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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)
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Cites work
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Cited in
(14)- Forecasting volatility with support vector machine-based GARCH model
- Testing for change points in partially linear models
- Wavelet detection of change points in hazard rate models with censored dependent data
- Ratio tests for variance change in nonparametric regression
- MOSUM monitoring for variance change in nonparametric regression models
- 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
- Jump detection in time series nonparametric regression models: a polynomial spline approach
- Wavelet analysis of change points in nonparametric hazard rate models under random censorship
- Change point estimation in regression model with response missing at random
- Asymptotic distribution of the jump change-point estimator
- Detection of jumps by wavelets in a heteroscedastic autoregressive model
- Wavelet identification of structural change points in volatility models for time series
- Identification and wavelet estimation of weighted ATE under discontinuous and kink incentive assignment mechanisms
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