Estimation for the change point of volatility in a stochastic differential equation
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- Jushan Bai, 1997. "Estimation Of A Change Point In Multiple Regression Models," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 551-563, November.
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
- Sangyeol Lee & Yoichi Nishiyama & Nakahiro Yoshida, 2006. "Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 58(2), pages 211-222, June.
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- 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.
- Shixin, Gan, 1997. "The Hájek-Rényi inequality for Banach space valued martingales and the p smoothness of Banach spaces," Statistics & Probability Letters, Elsevier, vol. 32(3), pages 245-248, March.
- Sangyeol Lee & Jeongcheol Ha & Okyoung Na & Seongryong Na, 2003. "The Cusum Test for Parameter Change in Time Series Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(4), pages 781-796.
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KeywordsItô processes; Discrete time observations; Change point estimation; Volatility;
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