Nonparametric change-point analysis of volatility (Q2403429)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonparametric change-point analysis of volatility |
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Nonparametric change-point analysis of volatility (English)
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8 September 2017
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In this manuscript the authors develop some methods for change-point analysis of volatility. First, a test for change-point analysis for the volatility against jumps is constructed and its limit behavior is derived. Then, a minimax-optimal test is constructed for the local change problem. Finally, the global change problem is considered and a change-point test for this problem is given and its asymptotic results are presented.
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high-frequency data
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nonparametric change-point test
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minimax-optimal test
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stochastic volatility
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volatility jumps
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