Article ID Journal Published Year Pages File Type
1151893 Statistics & Probability Letters 2014 11 Pages PDF
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
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