Locally Time Homogeneous Time Series Modelling

DOI10.1007/978-3-540-69179-2_17zbMath1307.91147arXiv0812.0449OpenAlexW2133093032MaRDI QIDQ3542266

Publication date: 1 December 2008

Published in: Applied Quantitative Finance (Search for Journal in Brave)

Abstract: The paper offers a unified approach to the study of three locally adaptive estimation methods in the context of univariate time series from both theoretical and empirical points of view. A general procedure for the computation of critical values is given. The underlying model encompasses all distributions from the exponential family providing for great flexibility. The procedures are applied to simulated and real financial data distributed according to the Gaussian, volatility, Poisson, exponential and Bernoulli models. Numerical results exhibit a very reasonable performance of the methods.

Full work available at URL: https://arxiv.org/abs/0812.0449

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

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