Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations

被引：7

作者：

Iacus, Stefano M.

Yoshida, Nakahiro ^{[1
,2
]}

机构：

[1] Univ Tokyo, Tokyo 1538914, Japan

[2] Univ Tokyo, Grad Sch Math Sci, Japan Sci & Technol Agcy, Tokyo 1538914, Japan

来源：

ECONOMIC NOTES | 2010年 / 39卷 / 1-2期

关键词：

C13; C58;

D O I：

10.1111/j.1468-0300.2010.00224.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we review recent advances on change point estimation for the volatility component of stochastic differential equations under different discrete sampling schemes. We consider both ergodic and non-ergodic cases, and present a Monte Carlo study on the change point estimator to compare the three methods under different setups.

引用

页码：107 / 127

页数：21

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