Chen, Gongmeng; Choi, Yoon K.; Zhou, Yong Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility. (English) Zbl 1418.62152 J. Econom. 143, No. 2, 227-262 (2008). MSC: 62G08 62G07 62M10 62G20 62P05 62P20 PDFBibTeX XMLCite \textit{G. Chen} et al., J. Econom. 143, No. 2, 227--262 (2008; Zbl 1418.62152) Full Text: DOI
Chen, Gongmeng; Choi, Yoon K.; Zhou, Yong Nonparametric estimation of structural change points in volatility models for time series. (English) Zbl 1335.62126 J. Econom. 126, No. 1, 79-114 (2005). MSC: 62M10 62G05 91B70 91B84 62P05 PDFBibTeX XMLCite \textit{G. Chen} et al., J. Econom. 126, No. 1, 79--114 (2005; Zbl 1335.62126) Full Text: DOI