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Nonparametric estimation of structural change points in volatility models for time series
Chen, Gong-meng; Choi, Yoon K.; Zhou, Yong - In: Journal of econometrics 126 (2005) 1, pp. 79-114
Persistent link: https://www.econbiz.de/10002538638
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Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
Zhou, Yong; Wan, Alan T. K.; Xie, Shangyu; Wang, Xiaojing - In: Journal of econometrics 159 (2010) 1, pp. 183-201
Persistent link: https://www.econbiz.de/10008839929
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Nonparametric estimation of structural change points in volatility models for time series
Chen, Gongmeng; Choi, Yoon K.; Zhou, Yong - In: Journal of econometrics 126 (2005) 1, pp. 79-114
Persistent link: https://www.econbiz.de/10006749128
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Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
Chen, Gongmeng; Choi, Yoon K.; Zhou, Yong - In: Journal of econometrics 143 (2008) 2, pp. 227-262
Persistent link: https://www.econbiz.de/10007910773
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Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
Zhou, Yong; Wan, Alan T.K.; Xie, Shangyu; Wang, Xiaojing - In: Journal of econometrics 159 (2010) 1, pp. 183-202
Persistent link: https://www.econbiz.de/10008455129
Cover Image
Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
Chen, Gong-meng; Choi, Yoon K.; Zhou, Yong - In: Journal of econometrics 143 (2008) 2, pp. 227-262
Persistent link: https://www.econbiz.de/10003722600
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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433