Nonparametric change-point analysis of volatility
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More about this item
Keywords
high-frequency data; nonparametric change-point test; minimax-optimal test; stochastic volatility; volatility jumps;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-02-22 (Econometrics)
- NEP-ETS-2015-02-22 (Econometric Time Series)
- NEP-ORE-2015-02-22 (Operations Research)
- NEP-RMG-2015-02-22 (Risk Management)
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