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Quasi-maximum likelihood estimation for multiple volatility shifts

  • Kim, Moosup
  • Lee, Taewook
  • Noh, Jungsik
  • Baek, Changryong
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    We propose the Gaussian quasi-maximum likelihood estimator (QMLE) to detect and locate multiple volatility shifts. Our Gaussian QMLE is shown to be consistent under suitable conditions and the rate of convergence is provided. It is also shown that the binary segmentation procedure provides a consistent estimation for the number of volatility shifts.

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    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 86 (2014)
    Issue (Month): C ()
    Pages: 50-60

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    Handle: RePEc:eee:stapro:v:86:y:2014:i:c:p:50-60
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    8. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Persistence in Variance, Structural Change, and the GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 225-34, April.
    9. Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138.
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