Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151893 | Statistics & Probability Letters | 2014 | 11 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Moosup Kim, Taewook Lee, Jungsik Noh, Changryong Baek,