Changepoint estimation for dependent and non-stationary panels.
DOI10.21136/AM.2020.0296-19OpenAlexW3031754953MaRDI QIDQ778562FDOQ778562
Authors: Michal Pešta, Barbora Peštová, Matúš Maciak 
Publication date: 2 July 2020
Published in: Applications of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21136/am.2020.0296-19
changepointpanel datadependenceestimationnon-stationaritycall optionsnon-life insurancechange in means
Point estimation (62F10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Change‐point detection in panel data
- Basic properties of strong mixing conditions. A survey and some open questions
- Title not available (Why is that?)
- Common breaks in means and variances for panel data
- Estimation of heterogeneous panels with structural breaks
- Detection of structural breaks in linear dynamic panel data models
- Estimating a common deterministic time trend break in large panels with cross sectional dependence
- Testing structural changes in panel data with small fixed panel size and bootstrap
- Total least squares and bootstrapping with applications in calibration
- Changepoint estimation for dependent and non-stationary panels.
Cited In (9)
- Changepoint in dependent and non-stationary panels
- Infinitely stochastic micro reserving
- Implied Volatility Surface Estimation via Quantile Regularization
- Investment disputes and their explicit role in option market uncertainty and overall risk instability
- Isolating changed panels and estimating common change point after sequential detection with FDR control
- Changepoint estimation for dependent and non-stationary panels.
- Title not available (Why is that?)
- Editorial for the special issue: Change point detection
- Using interpolated implied volatility for analysing exogenous market changes
This page was built for publication: Changepoint estimation for dependent and non-stationary panels.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q778562)
