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Nonparametric volatility change detection - MaRDI portal

Nonparametric volatility change detection

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Publication:5001014

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DOI10.1111/SJOS.12497zbMath1469.62246arXiv1906.02996OpenAlexW3096339744MaRDI QIDQ5001014

Maria Mohr, Natalie Neumeyer

Publication date: 16 July 2021

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.02996

zbMATH Keywords

kernel estimation CUSUM heteroscedasticity structural change change point Kolmogorov-Smirnov test conditional variance function marked empirical process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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