Detecting structural breaks in realized volatility

DOI10.1016/j.csda.2018.12.007OpenAlexW2906128065MaRDI QIDQ1727922

Junmo Song, Changryong Baek

Publication date: 21 February 2019

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2018.12.007

zbMATH Keywords

score testlong-memory processrealized volatilityparameter change testHAR-GARCH model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Sparse vector heterogeneous autoregressive modeling for realized volatility ⋮ Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification ⋮ Robust test for structural instability in dynamic factor models

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