Quasi-maximum likelihood estimation for multiple volatility shifts

DOI10.1016/j.spl.2013.12.007zbMath1332.62330OpenAlexW2032380027MaRDI QIDQ2452776

Moosup Kim, Taewook Lee, Jungsik Noh, Changryong Baek

Publication date: 5 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.12.007

zbMATH Keywords

change point analysisquasi-maximum likelihood estimationvolatility shifts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Cites Work

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• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Neglecting parameter changes in GARCH models
• Estimating the number of change-points via Schwarz' criterion
• A critical look at Lo's modified \(R/S\) statistic.
• Change-point estimation in ARCH models
• Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
• Structural breaks in time series
• Break Detection for a Class of Nonlinear Time Series Models
• Modelling the persistence of conditional variances
• Estimating and Testing Linear Models with Multiple Structural Changes
• Long memory and regime switching

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