dc.contributor.author | Andreou, Elena | en |
dc.contributor.author | Ghysels, Eric | en |
dc.creator | Andreou, Elena | en |
dc.creator | Ghysels, Eric | en |
dc.date.accessioned | 2019-05-03T05:21:46Z | |
dc.date.available | 2019-05-03T05:21:46Z | |
dc.date.issued | 2004 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/47083 | |
dc.description.abstract | The article evaluates the performance of several recently proposed change-point tests applied to conditional variance dynamics and conditional distributions of asset returns. These are CUSUM-type tests for ß-mixing processes and EDF-based tests for the residuals of such nonlinear dependent processes. Hence the tests apply to the class of ARCH- and SV-type processes as well as data-driven volatility estimators using high-frequency data. It is shown that some of the high-frequency volatility estimators substantially improve the power of the structural break tests, especially for detecting changes in the tail of the conditional distribution. Similarly certain types of filtering and transformation of the returns process can improve the power of CUSUM statistics. We also explore the impact of sampling frequency on each of the test statistics. ABSTRACT FROM PUBLISHER] | en |
dc.description.abstract | Copyright of Journal of Financial Econometrics is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | en |
dc.source | Journal of Financial Econometrics | en |
dc.subject | CUSUM | en |
dc.subject | GARCH | en |
dc.subject | change-point tests | en |
dc.subject | high-frequency data | en |
dc.subject | Kolmogorov-Smirnov | en |
dc.subject | location-scale distribution family | en |
dc.subject | power variation | en |
dc.subject | quadratic variation | en |
dc.title | The impact of sampling frequency and volatility estimators on change-point tests | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1093/jjfinec/nbh011 | |
dc.description.volume | 2 | |
dc.description.startingpage | 290 | |
dc.description.endingpage | 318 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Οικονομικών / Department of Economics | |
dc.type.uhtype | Article | en |
dc.description.totalnumpages | 290-318 | |