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The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests
Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2004
dynamics and conditional distributions of asset returns. These are CUSUM-type tests for beta-mixing processes and EDF … improve the power of CUSUM statistics. We also explore the impact of sampling frequency on each of the test statistics. Ce … papier évalue la performance de plusieurs tests de changement structurel CUSUM et EDF pour la structure dynamique de la …
Persistent link: https://www.econbiz.de/10005100727
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Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter
Woerner, Jeannette H. C. - 2003
Persistent link: https://www.econbiz.de/10009581651
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Estimation of integrated volatility in stochastic volatility models
Woerner, Jeannette H. C. - 2003
Persistent link: https://www.econbiz.de/10009581654
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Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - Centre Interuniversitaire de Recherche en Analyse des … - 2004
We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use of daily or intra-daily (5-minute) data, and in...
Persistent link: https://www.econbiz.de/10005101099
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Tests for Breaks in the Conditional Co-movements of Asset Returns
Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2002
We propose procedures designed to uncover structural breaks in the co-movements of financial markets. A reduced form approach is introduced that can be considered as a two-stage method for reducing the dimensionality of multivariate heteroskedastic conditional volatility models through...
Persistent link: https://www.econbiz.de/10005100903
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Modelling foreign exchange realized volatility using high frequency data : long memory versus structural breaks
Ben Maatoug, Abderrazak; Lamouchi, Rim; Davidson, Russell; … - In: Central European journal of economic modelling and … 10 (2018) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10011918105
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Backward CUSUM for Testing and Monitoring Structural Change
Otto, Sven; Breitung, Jörg - 2020
It is well known that the conventional CUSUM test suffers from low power and large detection delay. We therefore … propose two alternative detector statistics. The backward CUSUM detector sequentially cumulates the recursive residuals in … reverse chronological order, whereas the stacked backward CUSUM detector considers a triangular array of backward cumulated …
Persistent link: https://www.econbiz.de/10012287821
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Modeling high frequency data with long memory and structural change : A-HYEGARCH model
Shi, Yanlin; Yang, Yang - In: Risks : open access journal 6 (2018) 2, pp. 1-28
In this paper, we propose an Adaptive Hyperbolic EGARCH (A-HYEGARCH) model to estimate the long memory of high frequency time series with potential structural breaks. Based on the original HYGARCH model, we use the logarithm transformation to ensure the positivity of conditional variance. The...
Persistent link: https://www.econbiz.de/10011811728
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Long memory and structural change in the G7 inflation dynamics
Belkhouja, Mustapha; Mootamri, Imene - In: Economic modelling 54 (2016), pp. 450-462
Persistent link: https://www.econbiz.de/10011642242
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Power variation and stochastic volatility: a review and some new results
Barndorff-Nielsen, Ole E.; Graversen, Svend-Erik; … - 2004
In this paper we review some recent work on limit results on realised power variation, that is, sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in...
Persistent link: https://www.econbiz.de/10009441482