Nonparametric change-point analysis of volatility

DOI10.1214/16-AOS1499zbMath1421.62163arXiv1502.00043MaRDI QIDQ2403429

Moritz Jirak, Mathias Vetter, Markus Bibinger

Publication date: 8 September 2017

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.00043

zbMATH Keywords

stochastic volatilityhigh-frequency datavolatility jumpsminimax-optimal testnonparametric change-point test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Minimax procedures in statistical decision theory (62C20)

Related Items (5)

Common price and volatility jumps in noisy high-frequency data ⋮ Testing the volatility jumps based on the high frequency data ⋮ Data-driven semi-parametric detection of multiple changes in long-range dependent processes ⋮ Change-point inference on volatility in noisy Itô semimartingales ⋮ Scan B-statistic for kernel change-point detection

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