On the online estimation of local constant volatilities

DOI10.1016/J.CSDA.2011.02.012MaRDI QIDQ76074zbMATH OpenOpenAlexFDO

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

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)

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• Multiscale local change point detection with applications to value-at-risk
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Cites work

• scientific article; zbMATH DE number 5071096 (Why is no real title available?)
• A survey of nonparametric tests for scale
• Approximation Theorems of Mathematical Statistics
• Asymptotically Nonparametric Inference: An Alternative Approach to Linear Models
• Distribution-Free Two-Sample Tests for Scale
• Estimates of Location Based on Rank Tests
• Heteroskedastic time series with a unit root
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Multiscale local change point detection with applications to value-at-risk
• Non-parametric estimation of historical volatility
• On rank tests for shift detection in time series
• On robust testing for conditional heteroscedasticity in time series models
• On the Asymptotic Efficiency of Certain Nonparametric Two-Sample Tests
• On the robust detection of edges in time series filtering
• Online analysis of time series by the \(Q_n\) estimator
• Rank-Sum Tests for Dispersions
• Recursive computation of piecewise constant volatilities
• Robust nonparametric tests for the two-sample location problem
• Statistical inference for time-inhomogeneous volatility models.
• Testing, monitoring, and dating structural changes in exchange rate regimes
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility

Cited in

(9)

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

Describes a project that uses

Uses Software

• R

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