Testing and Locating Variance Changepoints with Application to Stock Prices

DOI10.2307/2965722MaRDI QIDQ4366255zbMATH OpenOpenAlexFDO

Authors Jie Chen, Arjun K. Gupta

Publication date 1997

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

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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(98)

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• Asymptotic fluctuations of mutagrams
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• Change points in heavy‐tailed multivariate time series: Methods using precision matrices
• Consistent selection of the number of change-points via sample-splitting
• Multiresolution granger causality testing with variational mode decomposition: a python software
• Variance change point detection for fractional Brownian motion based on the likelihood ratio test
• On the inconsistency of the change-point estimator for the NE family
• Model-based clustering of time-dependent observations with common structural changes
• Variance change point detection under a smoothly-changing mean trend with application to liver procurement
• Testing for a change point in a sequence of exponential random variables with repeated values
• Nonparametric Bayesian online change point detection using kernel density estimation with nonparametric hazard function
• Robustness of the likelihood ratio test for detection and estimation of a mean change point in a sequence of elliptically contoured observations
• Change point analysis of a Gaussian model
• An asymptotic test for constancy of the variance under short-range dependence
• Bootstrap-based inference for multiple variance changepoint models
• Objective Bayesian trend filtering via adaptive piecewise polynomial regression
• SEQUENTIAL METHODS FOR DETECTING CHANGES IN THE VARIANCE OF ECONOMIC TIME SERIES
• Change point analysis in data with heavy tails: a normal inverse Gaussian approach
• Multiscale detection and location of multiple variance changes in the presence of long memory
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• The Distribution of Stock Returns When the Market Is Up
• Bayesian modelling of time-varying conditional heteroscedasticity
• Testing for a change point in linear regression models
• Gradual variance change point detection with a smoothly changing mean trend
• Change-point problems: bibliography and review
• Trend and Variance Adaptive Bayesian Changepoint Analysis and Local Outlier Scoring

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