Nonparametric estimation of structural change points in volatility models for time series

By Gongmeng Chen, Yoon Choi, Yong Zhou. 2005

58 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/95e95176ebde160e378aef9ff436c218cff7127a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Paulo M. M. Rodrigues
2. A. Rubia

In Finance

1. Paulo M. M. Rodrigues
2. A. Rubia

Citations in the corpus

• Testing for Structural Breaks in Variance with Additive Outliers and Measurement Errors (2006, background): “IT ⇒ M 1/2 4 √ 2 ¡ σ(2)ε + pλ 2 + pδ(2) + σ(2)ξ ¢ sup τ∈[0,1] |W ∗ (τ) |; (8) KL ⇒ sup τ∈[0,1] |W ∗ (τ) | (9)”