Real-time monitoring test for realized volatility

DOI10.1515/jtse-2012-0014zbMath1490.62217OpenAlexW3121877779MaRDI QIDQ1695554

Cindy Shin-Huei Wang, Cheng Hsiao

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2012-0014

zbMATH Keywords

long memorymonitoringstructural changereal-timeCUSUM of squares tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Unnamed Item
• Time series: theory and methods.
• Testing for structural change in a long-memory environment
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Change‐Point Estimation of Fractionally Integrated Processes
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Monitoring Structural Change
• Modeling and Forecasting Realized Volatility
• Statistical Methods Related to the Law of the Iterated Logarithm
• A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS

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