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dc.contributor.authorAndreou, Elenaen
dc.contributor.authorGhysels, Ericen
dc.creatorAndreou, Elenaen
dc.creatorGhysels, Ericen
dc.date.accessioned2019-05-03T05:21:46Z
dc.date.available2019-05-03T05:21:46Z
dc.date.issued2004
dc.identifier.urihttp://gnosis.library.ucy.ac.cy/handle/7/47083
dc.description.abstractThe 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.abstractCopyright 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.sourceJournal of Financial Econometricsen
dc.subjectCUSUMen
dc.subjectGARCHen
dc.subjectchange-point testsen
dc.subjecthigh-frequency dataen
dc.subjectKolmogorov-Smirnoven
dc.subjectlocation-scale distribution familyen
dc.subjectpower variationen
dc.subjectquadratic variationen
dc.titleThe impact of sampling frequency and volatility estimators on change-point testsen
dc.typeinfo:eu-repo/semantics/article
dc.identifier.doi10.1093/jjfinec/nbh011
dc.description.volume2
dc.description.startingpage290
dc.description.endingpage318
dc.author.facultyΣχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management
dc.author.departmentΤμήμα Οικονομικών / Department of Economics
dc.type.uhtypeArticleen
dc.description.totalnumpages290-318


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