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Adaptive Detection of Multiple Change-Points in Asset Price Volatility · Study

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ChapterAdaptive Detection of Multiple Change-Points in Asset Price Volatility

Marc Lavielle2006

Chapter2006

Adaptive Detection of Multiple Change-Points in Asset Price Volatility

Marc Lavielle · Gilles Teyssière

82 citations·0/0 files stored·Springer eBooks

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Advanced Statistical Process Monitoring Financial Risk and Volatility Modeling Statistical Methods and Inference

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References

1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance 1995Detection of Abrupt Changes: Theory and Applications.1997Limit theorems in change-point analysis 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns 1999Volatility in Emerging Stock Markets 1988Estimating the number of change-points via Schwarz' criterion 1993Nonparametric Methods in Change-Point Problems 1991Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

Cited by

2013Dynamic relationship between precious metals 2014A comparative analysis of the dynamic relationship between oil prices and exchange rates 2022Geopolitical risk and oil price volatility: Evidence from Markov-switching model 2014Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey 2013Multiple-Change-Point Detection for Auto-Regressive Conditional Heteroscedastic Processes

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2009Structural Breaks in Financial Time Serieschapter · 11 shared references 2002Detecting multiple breaks in financial market volatility dynamicsarticle · 6 shared references 2006Detection of multiple change-points in multivariate time seriesarticle · 6 shared references 2004SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELSarticle · 6 shared references 2017Multiple change-point detection for non-stationary time series using Wild Binary Segmentationarticle · 6 shared references 2002Off-Line Statistical Process Controlchapter · 6 shared references

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Year2006

Typechapter

Published2006-09-21

VenueSpringer eBooks

Languageen

Citations82

Files0 public / 0

ShelfAdvanced Statistical Process Monitoring

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doi10.1007/3-540-34625-2_5

openalex_workW1560368109

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2017Multiple change-point detection for non-stationary time series using Wild Binary Segmentation

2022Stock market volatility predictability in a data-rich world: A new insight

2022Unsupervised Change Point Detection and Trend Prediction for Financial Time-Series Using a New CUSUM-Based Approach