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 |
学术指纹
探究 'Nonparametric estimation of structural change points in volatility models for time series' 的科研主题。它们共同构成独一无二的学术指纹。引用此
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver