On the online estimation of local constant volatilities

DOI10.1016/J.CSDA.2011.02.012zbMATH Open1254.91656OpenAlexW1967964633MaRDI QIDQ76074FDOQ76074

Authors: Roland Fried, Roland Fried 

Publication date: November 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.02.012

Recommendations

• Multiscale local change point detection with applications to value-at-risk
• Non-parametric volatility estimation in continuous time
• Statistical inference for time-inhomogeneous volatility models.
• Recursive computation of piecewise constant volatilities
• Nonparametric volatility change detection

zbMATH Keywords

outliersheteroscedasticityheavy tailsstructural breakstests for equality of variances

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Sequential statistical analysis (62L10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Cites Work

• Approximation Theorems of Mathematical Statistics
• Multiscale local change point detection with applications to value-at-risk
• On rank tests for shift detection in time series
• On the robust detection of edges in time series filtering
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Statistical inference for time-inhomogeneous volatility models.
• Recursive computation of piecewise constant volatilities
• Testing, monitoring, and dating structural changes in exchange rate regimes
• Rank-Sum Tests for Dispersions
• Title not available (Why is that?)
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• Distribution-Free Two-Sample Tests for Scale
• A survey of nonparametric tests for scale
• Non-parametric estimation of historical volatility
• Heteroskedastic time series with a unit root
• Asymptotically Nonparametric Inference: An Alternative Approach to Linear Models
• Estimates of Location Based on Rank Tests
• On the Asymptotic Efficiency of Certain Nonparametric Two-Sample Tests
• Robust nonparametric tests for the two-sample location problem
• On robust testing for conditional heteroscedasticity in time series models
• Online analysis of time series by the \(Q_n\) estimator

Cited In (10)

• Online estimation of time-varying volatility using a continuous-discrete LMS algorithm
• Statistical inference for time-inhomogeneous volatility models.
• Jump robust daily covariance estimation by disentangling variance and correlation components
• Fourier methods for analyzing piecewise constant volatilities
• Robust online scale estimation in time series: a model-free approach
• CUSUM control charts for monitoring optimal portfolio weights
• A Haar–Fisz technique for locally stationary volatility estimation
• Robust control charts for the mean of a locally linear time series
• Multiscale local change point detection with applications to value-at-risk
• robnptests

Uses Software

• R

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