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Estimation and testing in generalized mean-reverting processes with change-point
8 references·1 citing·39 second hop
Estimation and testing in generalized mean-reverting processes with change-point (2016)Estimation and testing in generalized mea…Change point testing for the drift parameters of a periodic mean reversion process (2014)Change point testing for the …Changepoint detection in daily precipitation data (2012)Changepoint detection in dail…Drift estimation for a periodic mean reversion process (2010)Drift estimation for a period…Change detection in linear regression with time series errors (2009)Change detection in linear re…Monitoring parameter change in AR ( p ) time series models (2008)Monitoring parameter change i…Estimating restricted structural change models (2005)Estimating restricted structu…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting (2017)Inference for a change-point …The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Critical values for multiple structural change tests (2003)Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity (2007)The limit distribution of the estimates in cointegrated regression models with multiple structural changes (2008)Deviations from Rules-Based Policy and Their Effects (2014)Procedures for Reacting to a Change in Distribution (1971)Optimal Stopping Times for Detecting Changes in Distributions (1986)Detection of Abrupt Changes: Theory and Applications. (1995)Retrospective change detection for binary time series models (2013)Multiple change-point detection for non-stationary time series using Wild Binary Segmentation (2017)The state of cumulative sum sequential changepoint testing 70 years after Page (2023)Inference About the Change-Point in a Sequence of Random Variables (1970)The Likelihood Ratio Test for a Change-Point in Simple Linear Regression (1989)Modelling structural breaks, long memory and stock market volatility: an overview (2004)Detecting at‐Most‐m Changes in Linear Regression Models (2016)The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations (1993)Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change-Point (1995)Limit theorems in change-point analysis (1997)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introduction to Stochastic Integration (1983)Stochastic Differential Equations (2003)Stochastic Differential Equations (2003)Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean (2016)Weak Convergence of the Sequential Empirical Processes of Residuals in ARMA Models (1994)Changepoint Detection in Periodic and Autocorrelated Time Series (2007)A General Regression Changepoint Test for Time Series Data (2015)Regime change analysis of interval-valued time series with an application to PM10 (2015)CONTINUOUS INSPECTION SCHEMES (1954)Optimal Detection of Changepoints With a Linear Computational Cost (2012)
this work references cited by second hop

References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 2005Estimating restricted structural change models141 cited
  • 2008Monitoring parameter change in AR ( p ) time series models84 cited
  • 2012Changepoint detection in daily precipitation data43 cited
  • 2010Drift estimation for a periodic mean reversion process39 cited
  • 2009Change detection in linear regression with time series errors19 cited
  • 2014Change point testing for the drift parameters of a periodic mean reversion process16 cited

Cited by

  • 2017Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting12 cited

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