On the online estimation of local constant volatilities

Computational Statistics and Data Analysis

Volumn 56, Issue 11, 2012, Pages 3080-3090

  Fried, Roland ^a  

^a TU DORTMUND UNIVERSITY   (Germany)

Author keywords

Heavy tails; Heteroscedasticity; Outliers; Structural breaks; Tests for equality of variances

Indexed keywords

HEAVY-TAILS; HETEROSCEDASTICITY; OUTLIERS; STRUCTURAL BREAK; TESTS FOR EQUALITY OF VARIANCES;

ECONOMIC ANALYSIS;

FINANCIAL DATA PROCESSING;

EID: 79959701038     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2011.02.012     Document Type: Article

References (30)

1. T.G. Andersen, and T. Bollerslev Deutsche Mark-Dollar volatility: intraday activity patterns, macroeconomic announcements and longer run dependencies Journal of Finance 53 1998 219 265
2. A.R. Ansari, and R.A. Bradley Rank-sum tests for dispersion Annals of Mathematical Statistics 31 1960 1174 1189
3. K. Boudt, C. Croux, and S. Laurent Robust estimation of intraweek periodicity in volatility and jump detection Journal of Empirical Finance 18 2011 353 367
4. A.C. Bovik, and D.C. Munson Jr. Edge detection using median comparisons Computer Vision, Graphics, and Image Processing 33 1986 377 389
5. G. Cavaliere, and A.M.R. Taylor Time transformed unit root tests for models with non-stationary volatility Journal of Time Series Analysis 29 2007 300 330
6. G. Cavaliere, and A.M.R. Taylor Heteroskedastic time series with a unit root Econometric Theory 25 2009 1228 1270
7. W.J. Conover, M.E. Johnson, and M.M. Johnson A comparative study of tests for homogeneity of variances, with applications to the outer continental shelf bidding data Technometrics 23 1981 351 361
8. L. Davies, C. Höhenrieder, and W. Krämer Recursive computation of piecewise constant volatilities Computational Statistics & Data Analysis 56 11 2012 3623 3631
9. P. Duchesne On robust testing for conditional heteroscedasticity in time series models Computational Statistics & Data Analysis 46 2004 227 256
10. B.S. Duran A survey of nonparametric tests for scale Communications in Statistics. Theory and Methods 5 1976 1287 1312
11. M.A. Fligner, and T.J. Killeen Distribution-free two-sample tests for scale Journal of the American Statistical Association 71 1976 210 213
12. R. Fried On robust shift detection in time series Computational Statistics & Data Analysis 52 2007 1063 1074
13. Fried, R.; Dehling, H.; 2011. Robust nonparametric tests for the two-sample location problem. Preprint. Department of Statistics, TU Dortmund University, 44221 Dortmund, Germany (under revision).
14. R. Fried, and U. Gather On rank tests for shift detection in time series Computational Statistics & Data Analysis 52 2007 221 233
15. C. Granger, and C. Starica Nonstationarities in stock returns Review of Economics & Statistics 87 2005 523 538
16. J.L. Hodges, and E.L. Lehmann Estimates of location based on rank tests Annals of Mathematical Statistics 34 1963 598 611
17. L. Horváth, P. Kokoszka, and A. Zhang Modelling constancy of variance in conditionally heteroskedastic time series Econometric Theory 22 2006 373 402
18. E.L. Lehmann Asymptotically nonparametric inference: an alternative approach to linear models Annals of Mathematical Statistics 34 1963 1494 1506
19. R.A. Maronna, and R.H. Zamar Robust estimates of location and dispersion for high-dimensional data sets Technometrics 44 2002 307 317
20. D. Mercurio, and V. Spokoiny Statistical inference for time-inhomogeneous volatility models Annals of Statistics 32 2004 577 602
21. T. Mikosch, and C. Starica Limit theory for the sample autocorrelations and extremes of a GARCH(1, 1) process Annals of Statistics 28 2000 1427 1451
22. A.M. Mood On the asymptotic efficiency of certain nonparametric two-sample tests Annals of Mathematical Statistics 25 1954 514 522
23. R. Nunkesser, R. Fried, K. Schettlinger, and U. Gather Robust time series analysis by the Qn-estimator Computational Statistics & Data Analysis 53 2009 2354 2362
24. R Development Core Team, 2009. R: a language and environment for statistical computing. R Foundation for Statistical Computing. Vienna, Austria. ISBN: 3-900051-07-0. URL: http://www.R-project.org.
25. J.A. Randal, P.J. Thomson, and M.T. Lally Non-parametric estimation of historical volatility Quantitative Finance 4 2004 427 440
26. R.J. Serfling Approximation Theorems of Mathematical Statistics 1980 Wiley New York
27. L.H. Shoemaker Interquantile tests for dispersion in skewed distributions Communications in Statistics - Simulation and Computation 28 1999 189 205
28. V. Spokoiny Multiscale local change point detection with applications to value-at-risk Annals of Statistics 37 2009 1405 1436
29. R.L. Wasserstein, and J.E. Boyer Jr. Bounds on the power of linear rank tests for scale parameters The American Statistician 45 1991 10 13
30. A. Zeileis, A. Shah, and I. Patnaik Testing, monitoring, and dating structural changes in exchange rate regimes Computational Statistics & Data Analysis 54 2010 1696 1706