On the online estimation of local constant volatilities

DOI10.1016/j.csda.2011.02.012zbMath1254.91656OpenAlexW1967964633MaRDI QIDQ76074

Roland Fried, Roland Fried

Publication date: November 2012

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

Full work available at URL: https://doi.org/10.1016/j.csda.2011.02.012

zbMATH Keywords

outliersheteroscedasticityheavy tailsstructural breakstests for equality of variances

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82) Sequential statistical analysis (62L10)

Related Items (5)

Robust control charts for the mean of a locally linear time series ⋮ Fourier methods for analyzing piecewise constant volatilities ⋮ Jump robust daily covariance estimation by disentangling variance and correlation components ⋮ CUSUM control charts for monitoring optimal portfolio weights ⋮ robnptests

Uses Software

• R

Cites Work

• Unnamed Item
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