Detection of jumps by wavelets in a heteroscedastic autoregressive model
Wavelets are applied to detect the jumps in a heteroscedastic autoregressive model. The empirical wavelet coefficients are defined respectively for the conditional mean and the conditional variance of the model. It is shown that the wavelet coefficients exhibit high peaks near the jump points, based on which a procedure is developed to identify and then to locate the jumps. All estimators are shown to be consistent.
Volume (Year): 52 (2001)
Issue (Month): 4 (May)
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- Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 33-55, March.
- Li, C W & Li, W K, 1996. "On a Double-Threshold Autoregressive Heteroscedastic Time Series Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 253-274, May-June.
- Li, Yuan & Xie, Zhongjie, 1997. "The wavelet detection of hidden periodicities in time series," Statistics & Probability Letters, Elsevier, vol. 35(1), pages 9-23, August.
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