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Nonparametric change-point analysis of volatility

30 January 2015

Papers citing "Nonparametric change-point analysis of volatility"

5 / 5 papers shown

Title
Probabilistic models and statistics for electronic financial markets in the digital age Markus Bibinger 57 0 0 11 Jun 2024
Parametric change point detection with random occurrence of the change point Cassandra Milbradt 24 0 0 06 Jul 2022
Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data Yuta Koike 70 15 0 01 Sep 2017
Scan $B$ -Statistic for Kernel Change-Point Detection Shuang Li Yao Xie H. Dai Le Song 131 110 0 05 Jul 2015
Common price and volatility jumps in noisy high-frequency data M. Bibinger Lars Winkelmann 67 19 0 16 Jul 2014