登录 注册 会员服务 联系我们

Detecting structural breaks in realized volatility

  • Published:2019-06 Issue: Volume:134 Page:58-75
  • ISSN:0167-9473
  • Container-title:Computational Statistics & Data Analysis
  • language:en
  • Short-container-title:Computational Statistics & Data Analysis

Author:

Song Junmo,Baek Changryong

Funder

Basic Science Research Program from the National Research Foundation of Korea

Ministry of Science, ICT and Future Planning

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference32 articles.

Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Comparison between Parametric and Nonparametric Volatility Forecasting of Stock Index Futures in China;Emerging Markets Finance and Trade;2021-12-08

2. Robust test for structural instability in dynamic factor models;Annals of the Institute of Statistical Mathematics;2021-01-02

3. Sparse vector heterogeneous autoregressive modeling for realized volatility;Journal of the Korean Statistical Society;2020-10-07

4. Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification;Computational Statistics & Data Analysis;2020-10

5. Estimation of long memory parameter in nonparametric regression;Communications for Statistical Applications and Methods;2019-11-30
同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3