Nonparametric estimation of structural change points in volatility models for time series
Abbreviated Journal Title
change points in volatility; least squares; nonparametric estimation; asymptotic properties; INDEPENDENT RANDOM-VARIABLES; CONDITIONAL HETEROSCEDASTICITY; VARIANCE; LIKELIHOOD; JUMPS; REGRESSION; INFERENCE; SEQUENCE; SUMS; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, ; Mathematical Methods
We propose a hybrid estimation procedure that combines the least squares and nonparametric methods to estimate change points of volatility in time series models. Its main advantage is that it does not require any specific form of marginal or transitional densities of the process. We also establish the asymptotic properties of the estimators when the regression and conditional volatility functions are not known. The proposed tests for change points of volatility are shown to be consistent and more powerful than the nonparametric ones in the literature. Finally, we provide simulations and empirical results using the Hong Kong stock market index (HSI) series. (C) 2004 Elsevier B.V. All rights reserved
Journal of Econometrics
"Nonparametric estimation of structural change points in volatility models for time series" (2005). Faculty Bibliography 2000s. 5056.