Recursive computation of piecewise constant volatilities

Computational Statistics and Data Analysis

Volumn 56, Issue 11, 2012, Pages 3623-3631

  Davies, Laurie ^a   Höhenrieder, Christian ^b   Krämer, Walter ^c  

^a UNIVERSITY OF DUISBURG ESSEN   (Germany)

^b DEUTSCHE BUNDESBANK   (Germany)

^c TU DORTMUND UNIVERSITY   (Germany)

Author keywords

Heteroskedasticity; Stock returns; Volatility

Indexed keywords

GAUSSIAN WHITE NOISE; HETEROSKEDASTICITY; LOCAL APPROXIMATION; LONG RANGE; NONPARAMETRIC APPROACHES; PARAMETRIC MODELS; PIECE-WISE-CONSTANT FUNCTIONS; PIECEWISE CONSTANT; PRIOR KNOWLEDGE; RECURSIVE COMPUTATION; RISKY ASSETS; SIMULATED DATA; SIMULATION STUDIES; SPARSITY PROBLEMS; STOCK RETURNS; VOLATILITY;

COMPUTATIONAL METHODS; DATA HANDLING;

INVESTMENTS;

EID: 84862016212     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2010.06.027     Document Type: Article

References (17)

1. Andersen, T.G.; Benzoni, L.; 2008. Realized volatility, Federal Reserve Bank of Chicago, WP2008-14.
2. J. Bai, and P. Perron Estimating and testing linear models with multiple structural changes Econometrica 66 1998 47 78
3. L. Boysen, A. Kempe, V. Liebscher, A. Munk, and O. Wittich Consistencies and rates of convergence of jump-penalized least squares estimators The Annals of Statistics 37 2009 157 183
4. J.D. Curto, J.C. Pinto, and G.N. Tavares Modelling stock markets' volatility using GARCH models with normal, students' t and stable Paretian distributions Statistical Papers 50 2009 311 321
5. Davies, P.L.; 2005. Universal Principles, Approximation and Model Choice, Invited talk, European Meeting of Statisticians, Oslo, Norway.
6. Davies, P.L.; 2006. Long range financial data and model choice, Technical report 21/2006, SFB 475, Universität Dortmund, Germany.
7. P.L. Davies, and A. Kovac Local extremes, runs, strings and multiresolution. (with discussion) The Annals of Statistics 29 2001 1 65
8. P.L. Davies, A. Kovac, and M. Meise Nonparametric regression, confidence regions and regularization The Annals of Statistics 37 5b 2009 2597 2625
9. F. Friedrich, A. Kempe, V. Liebscher, and G. Winkler Complexity penalized M-estimation: fast computations Journal of Computational and Graphical Statistics 17 2008 201 224
10. C. Granger, and C. Starica Nonstationarities in stock returns The Review of Economics & Statistics 87 3 2005 523 538
11. Höhenrieder, C.; 2008. Nichtparametrische Volatilitäts-und Trendapproximation von Finanzdaten, Ph.D. Thesis, Department of Mathematics, Universität Duisburg-Essen, Germany.
12. M. Lavielle Detection of multiple changes in a sequence of dependent random variables Stochastic Processes and their Applications 83 1999 79 102
13. M. Lavielle, and E. Moulines Least squares estimation of an unknown number of shifts in a time series Journal of Time Series Analysis 21 2000 33 59
14. M. Lavielle, and G. Teyssière Detection of multiple change-points in multivariate time series Lithuanian Mathematical Journal 46 2006 287 306
15. D. Mercurio, and V. Spokoiny Statistical inference for time-inhomogeneous volatility models The Annals of Statistics 32 2004 577 602
16. E. Vassiliou, and I.C. Demetriou An adaptive algorithm for least squares piecewise monotonic data fitting Computational Statistics and Data Analysis 49 2005 591 609
17. B. Wilfling Interest rate volatility prior to monetary union under alternative pre-switch regimes German Economic Review 4 2003 433 457