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

DOI10.1016/j.jeconom.2007.10.001zbMath1418.62152OpenAlexW2026734719MaRDI 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 estimationchange pointsnonparametric regression\(\alpha\)-mixingwavelet coefficientconditional heteroscedastic variancelocal polynomial smoother

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (11)

Testing for change points in partially linear models ⋮ 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 ⋮ Ratio tests for variance change in nonparametric regression ⋮ Wavelet Analysis of Change Points in Nonparametric Hazard Rate Models Under Random Censorship ⋮ Forecasting volatility with support vector machine-based GARCH model ⋮ 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 ⋮ Wavelet detection of change points in hazard rate models with censored dependent data

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