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Recursive computation of piecewise constant volatilities
7 references·0 citing·36 second hopsampled
Recursive computation of piecewise constant volatilities (2010)Recursive computation of piecewise consta…Modeling stock markets’ volatility using GARCH models with Normal, Student’s t and stable Paretian distributions (2007)Modeling stock markets’ volat…Detection of multiple change-points in multivariate time series (2006)Detection of multiple change-…Nonstationarities in Stock Returns (2005)Nonstationarities in Stock Re…Listening to What the World Says: Bilingualism and Earnings in the United States (2005)Listening to What the World S…Statistical inference for time-inhomogeneous volatility models (2004)Statistical inference for tim…Least‐squares Estimation of an Unknown Number of Shifts in a Time Series (2000)Least‐squares Estimation of a…Detection of multiple changes in a sequence of dependent variables (1999)Detection of multiple changes…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Volatility transmission between gold and oil futures under structural breaks (2012)Is gold the best hedge and a safe haven under changing stock market volatility? (2013)Forecasting the volatility of crude oil futures using HAR-type models with structural breaks (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Specification tests for the error distribution in GARCH models (2010)Value at risk and expected shortfall based on Gram-Charlier-like expansions (2018)The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model (2021)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)MULTISCALE LOCAL CHANGE POINT DETECTION WITH APPLICATIONS TO VALUE-AT-RISK (2009)A Survey on Time-Varying Copulas: Specification, Simulations, and Application (2012)Inference About the Change-Point in a Sequence of Random Variables (1970)Estimating the number of change-points via Schwarz' criterion (1988)Nonparametric Methods in Change-Point Problems (1993)Detecting multiple breaks in financial market volatility dynamics (2002)Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model (2004)Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets (2013)The Impact of the Mariel Boatlift on the Miami Labor Market (1989)Empirical Strategies in Labor Economics (1999)Cognitive and Linguistic Correlates of Early Exposure to More than One Language (2012)The economic returns to proficiency in English in China (2017)The Economics of Immigration (2018)A Survey of Robot-Assisted Language Learning (RALL) (2019)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Limit theorems in change-point analysis (1997)Adaptive Detection of Multiple Change-Points in Asset Price Volatility (2006)Multiple change-point detection for non-stationary time series using Wild Binary Segmentation (2017)Forecasting interest rates through Vasicek and CIR models: A partitioning approach (2019)Detection of Abrupt Changes: Theory and Applications. (1995)The Power of the Pruned Exact Linear Time(PELT) Test in Multiple Changepoint Detection (2015)A heuristic, iterative algorithm for change-point detection in abrupt change models (2017)
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References

  • 2005Nonstationarities in Stock Returns296 cited
  • 2000Least‐squares Estimation of an Unknown Number of Shifts in a Time Series276 cited
  • 1999Detection of multiple changes in a sequence of dependent variables231 cited
  • 2006Detection of multiple change-points in multivariate time series170 cited
  • 2004Statistical inference for time-inhomogeneous volatility models158 cited
  • 2005Listening to What the World Says: Bilingualism and Earnings in the United States155 cited
  • 2007Modeling stock markets’ volatility using GARCH models with Normal, Student’s t and stable Paretian distributions64 cited

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