Estimation for the change point of the volatility in a stochastic differential equation
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- 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.
References listed on IDEAS
- 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(1‐2), pages 107-127, February.
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Cited by:
- Yozo Tonaki & Yusuke Kaino & Masayuki Uchida, 2023. "Estimation for change point of discretely observed ergodic diffusion processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 50(1), pages 142-183, March.
- Tonaki, Yozo & Uchida, Masayuki, 2023. "Change point inference in ergodic diffusion processes based on high frequency data," Stochastic Processes and their Applications, Elsevier, vol. 158(C), pages 1-39.
- Bibinger, Markus & Jirak, Moritz & Vetter, Mathias, 2015. "Nonparametric change-point analysis of volatility," SFB 649 Discussion Papers 2015-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Li, Boyan & Diao, Xundi, 2023. "Structural break in different stock index markets in China," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
- 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(1‐2), pages 107-127, February.
- Alessandra Micheletti & Giacomo Aletti & Giulia Ferrandi & Danilo Bertoni & Daniele Cavicchioli & Roberto Pretolani, 2020. "A weighted $$\chi ^2$$ χ 2 test to detect the presence of a major change point in non-stationary Markov chains," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(4), pages 899-912, December.
- A. Gregorio & S. M. Iacus, 2019. "Empirical $$L^2$$ L 2 -distance test statistics for ergodic diffusions," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 233-261, July.
- Fuqi Chen & Rogemar Mamon & Sévérien Nkurunziza, 2018. "Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(4), pages 807-853, August.
- repec:hum:wpaper:sfb649dp2015-008 is not listed on IDEAS
- Yozo Tonaki & Yusuke Kaino & Masayuki Uchida, 2022. "Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 397-430, July.
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Keywords
It^o processes; discrete time observations; change point estimation; volatility;All these keywords.
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