Wavelet identification of structural change points in volatility models for time series

zbMATH Open1223.62152MaRDI QIDQ3071707FDOQ3071707

Authors: Jingle Wang, Wei-Qi Liu 

Publication date: 5 February 2011

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zbMATH Keywords

kernel estimationwavelet coefficients

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (4)

• Nonparametric estimation of structural change points in volatility models for time series
• Wavelet identification of structural changes in single-index models
• Analysis of time series with multiple shifts of levels and volatilities
• Detection of change points in volatility of non-parametric regression by wavelets

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