During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models....

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

We investigate several promising algorithms, proposed in literature, devised to detect sudden changes (structural breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm is carried out via numerical simulation in the case of...