Nonparametric change-point analysis of volatility
Year of publication: |
2015
|
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Authors: | Bibinger, Markus ; Jirak, Moritz ; Vetter, Mathias |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | high-frequency data | nonparametric change-point test | minimax-optimal test | stochastic volatility | volatility jumps |
Series: | SFB 649 Discussion Paper ; 2015-008 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 818092491 [GVK] hdl:10419/107926 [Handle] |
Classification: | C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods |
Source: |
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