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
收藏
页码：107 / 127
页数：21
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