Quasi-maximum likelihood estimation for multiple volatility shifts

We propose the Gaussian quasi-maximum likelihood estimator (QMLE) to detect and locate multiple volatility shifts. Our Gaussian QMLE is shown to be consistent under suitable conditions and the rate of convergence is provided. It is also shown that the binary segmentation procedure provides a consistent estimation for the number of volatility shifts.

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Year of publication:	2014
Authors:	Kim, Moosup ; Lee, Taewook ; Noh, Jungsik ; Baek, Changryong
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 86.2014, C, p. 50-60
Publisher:	Elsevier
Subject:	Volatility shifts \| Change point analysis \| Quasi-maximum likelihood estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010743568