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Recursive computation of piecewise constant volatilities · Study

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ArticleRecursive computation of piecewise constant volatilities

Laurie Davies2010

Article2010

Recursive computation of piecewise constant volatilities

Laurie Davies · Christian Höhenrieder · Walter Krämer

25 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical Methods and Inference

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References

2005Nonstationarities in Stock Returns 2000Least‐squares Estimation of an Unknown Number of Shifts in a Time Series 1999Detection of multiple changes in a sequence of dependent variables 2006Detection of multiple change-points in multivariate time series 2004Statistical inference for time-inhomogeneous volatility models 2005Listening to What the World Says: Bilingualism and Earnings in the United States 2007Modeling stock markets’ volatility using GARCH models with Normal, Student’s t and stable Paretian distributions

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Year2010

Typearticle

Published2010-07-11

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2010.06.027

openalex_workW2117875334

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