Testing and Locating Variance Changepoints with Application to Stock Prices

DOI10.2307/2965722zbMATH Open1090.62565OpenAlexW4249528953MaRDI QIDQ4366255FDOQ4366255

Authors: Jie Chen, Arjun K. Gupta 

Publication date: 1997

Full work available at URL: https://doi.org/10.2307/2965722

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zbMATH Keywords

ConsistencyHypothesis testingAsymptotic distributionInformation criterionUnbiased estimatorCumulative sumReturn series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Covariance changes detection in multivariate time series
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• Change point in variance of fractionally integrated noise
• Change point detection in length-biased Weibull distribution for random censored data based on modified information criterion
• Detecting Changes in Covariance via Random Matrix Theory
• A multiple comparison procedure based on a variant of the Schwarz information criterion in a mixed model
• Interaction between stock indices via changepoint analysis
• Elasticity as a measure for online determination of remission points in ongoing epidemics
• An Application of EM Algorithm to a Change-Point Problem
• A Bayesian wavelet approach to estimation of a change-point in a nonlinear multivariate time series
• Cusums for tracking arbitrary functionals
• Likelihood ratio test change-point detection in the skew slash distribution
• Change points in heavy‐tailed multivariate time series: Methods using precision matrices
• Nonparametric Bayesian online change point detection using kernel density estimation with nonparametric hazard function
• Testing for a change point in a sequence of exponential random variables with repeated values
• Change point detection in linear failure rate distribution under random censorship
• A GENERAL CLASS OF CUSUM STATISTICS
• Bayesian modelling of time-varying conditional heteroscedasticity
• Gradual variance change point detection with a smoothly changing mean trend

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