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

  • Gongmeng Chen*
  • , Yoon K. Choi
  • , Yong Zhou
  • *此作品的通讯作者
  • School of Accounting and Finance
  • Hong Kong Polytechnic University
  • Department of Finance
  • University of Central Florida
  • Chinese Academy of Sciences

科研成果: 期刊稿件 › 文章 › 同行评审

摘要

We propose a hybrid estimation procedure that combines the least squares and nonparametric methods to estimate change points of volatility in time series models. Its main advantage is that it does not require any specific form of marginal or transitional densities of the process. We also establish the asymptotic properties of the estimators when the regression and conditional volatility functions are not known. The proposed tests for change points of volatility are shown to be consistent and more powerful than the nonparametric ones in the literature. Finally, we provide simulations and empirical results using the Hong Kong stock market index (HSI) series.

源语言英语
页(从-至)79-114
页数36
期刊Journal of Econometrics
卷126
期1
DOI
出版状态已出版 - 5月 2005
已对外发布是

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