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Nonparametric change-point analysis of volatility. (English) Zbl 1421.62163

In this manuscript the authors develop some methods for change-point analysis of volatility. First, a test for change-point analysis for the volatility against jumps is constructed and its limit behavior is derived. Then, a minimax-optimal test is constructed for the local change problem. Finally, the global change problem is considered and a change-point test for this problem is given and its asymptotic results are presented.

MSC:

62P20 Applications of statistics to economics
62C20 Minimax procedures in statistical decision theory
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G10 Nonparametric hypothesis testing
62G20 Asymptotic properties of nonparametric inference
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