کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097047 | 1376567 | 2008 | 36 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper, we propose two estimators, an integral estimator and a discretized estimator, for the wavelet coefficient of regression functions in nonparametric regression models with heteroscedastic variance. These estimators can be used to test the jumps of the regression function. The model allows for lagged-dependent variables and other mixing regressors. The asymptotic distributions of the statistics are established, and the asymptotic critical values are analytically obtained from the asymptotic distribution. We also use the test to determine consistent estimators for the locations of change points. The jump sizes and locations of change points can be consistently estimated using wavelet coefficients, and the convergency rates of these estimators are derived. We perform some Monte Carlo simulations to check the powers and sizes of the test statistics. Finally, we give practical examples in finance and economics to detect changes in stock returns and short-term interest rates using the empirical wavelet method.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 143, Issue 2, April 2008, Pages 227-262
Journal: Journal of Econometrics - Volume 143, Issue 2, April 2008, Pages 227-262
نویسندگان
Gongmeng Chen, Yoon K. Choi, Yong Zhou,