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Nonparametric change-point analysis of volatility
16 references·1 citing·48 second hop
Nonparametric change-point analysis of volatility (2017)Nonparametric change-point analysis of vo…Volatility Jumps (2010)Volatility JumpsTesting for jumps in a discretely observed process (2009)Testing for jumps in a discre…Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Non‐parametric Threshold Esti…Inference for Continuous Semimartingales Observed at High Frequency (2009)Inference for Continuous Semi…Break detection in the covariance structure of multivariate time series models (2009)Break detection in the covari…Break detection in the covariance structure of multivariate time series models (2009)Break detection in the covari…Asymptotic properties of realized power variations and related functionals of semimartingales (2007)Asymptotic properties of real…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Simulation and Identification of the Fractional Brownian Motion: A Bibliographical and Comparative Study (2000)Simulation and Identification…Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Time Series Regression with a Unit Root (1987)Time Series Regression with a…A Simple Cumulative Sum Type Statistic for the Change-Point Problem with Zero-One Observations (1980)A Simple Cumulative Sum Type …Inference about the Change-Point from Cumulative Sum Tests (1971)Inference about the Change-Po…A Test for a Change in a Parameter Occurring at an Unknown Point (1955)A Test for a Change in a Para…Common price and volatility jumps in noisy high-frequency data (2018)Common price and volatility j…Fractional Brownian Motions, Fractional Noises and Applications (1968)The Pricing of Options and Corporate Liabilities (1973)Modeling and Forecasting Realized Volatility (2001)Time-changed Lévy processes and option pricing (2003)Brownian Motion and Stochastic Calculus (2007)Volatility Is Rough (2018)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Exploiting the errors: A simple approach for improved volatility forecasting (2015)The risk premia embedded in index options (2015)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)CONTINUOUS INSPECTION SCHEMES (1954)Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time (1964)Inference About the Change-Point in a Sequence of Random Variables (1970)The Changepoint Model for Statistical Process Control (2003)The Cusum Test for Parameter Change in Time Series Models (2003)An Overview of Phase I Analysis for Process Improvement and Monitoring (2014)Time Series Analysis: Forecasting and Control (1977)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Limit Theorems for Stochastic Processes (2003)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Modeling financial contagion using mutually exciting jump processes (2015)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Inference for single and multiple change‐points in time series (2013)Extensions of some classical methods in change point analysis (2014)Uniform change point tests in high dimension (2015)Dealing with Structural Breaks (2005)Bayesian Online Changepoint Detection (2007)
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References

  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 1998Long memory in continuous‐time stochastic volatility models752 cited
  • 1955A Test for a Change in a Parameter Occurring at an Unknown Point722 cited
  • 2009Testing for jumps in a discretely observed process587 cited
  • 1971Inference about the Change-Point from Cumulative Sum Tests460 cited
  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
  • 2009Break detection in the covariance structure of multivariate time series models313 cited
  • 2007Asymptotic properties of realized power variations and related functionals of semimartingales297 cited
  • 2009Break detection in the covariance structure of multivariate time series models247 cited
  • 2010Volatility Jumps217 cited
  • 2009Inference for Continuous Semimartingales Observed at High Frequency193 cited
  • 1980

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A Simple Cumulative Sum Type Statistic for the Change-Point Problem with Zero-One Observations
185 cited
  • 2000Simulation and Identification of the Fractional Brownian Motion: A Bibliographical and Comparative Study168 cited
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    • 2018Common price and volatility jumps in noisy high-frequency data21 cited