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Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations

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  • Stefano M. Iacus
  • Nakahiro Yoshida

Abstract

In this paper, we review recent advances on change point estimation for the volatility component of stochastic differential equations under different discrete sampling schemes. We consider both ergodic and non-ergodic cases, and present a Monte Carlo study on the change point estimator to compare the three methods under different setups. Copyright 2010 The Authors Economic Notes 2010 Banca Monte dei Paschi di Siena SpA.

Suggested Citation

  • Stefano M. Iacus & Nakahiro Yoshida, 2010. "Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(s1), pages 107-127, February.
    • Handle: RePEc:bla:ecnote:v:39:y:2010:i:s1:p:107-127
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    Cited by:

    1. Greeshma Balabhadra & El Mehdi Ainasse & Pawel Polak, 2023. "High-Frequency Volatility Estimation with Fast Multiple Change Points Detection," Papers 2303.10550, arXiv.org, revised Mar 2023.
    2. 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.
    3. 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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