Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations
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DOI: 10.1111/j.1468-0300.2010.00224.x
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- Stefano Maria IACUS & Nakahiro YOSHIDA, 2009. "Estimation for the change point of the volatility in a stochastic differential equation," Departmental Working Papers 2009-49, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Greeshma Balabhadra & El Mehdi Ainasse & Pawel Polak, 2023. "High-Frequency Volatility Estimation with Fast Multiple Change Points Detection," Papers 2303.10550, arXiv.org, revised Jun 2024.
- Iacus, Stefano M. & Yoshida, Nakahiro, 2012.
"Estimation for the change point of volatility in a stochastic differential equation,"
Stochastic Processes and their Applications, Elsevier, vol. 122(3), pages 1068-1092.
- Stefano Iacus & Nakahiro Yoshida, 2009. "Estimation for the change point of the volatility in a stochastic differential equation," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1084, Universitá degli Studi di Milano.
- Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
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