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Autor
Bock David (Göteborg University)
Tytuł
Online Testing of Switching Volatility
Źródło
FindEcon Monograph Series : advances in financial market analysis, 2006, nr 2, s. 99-120, rys., tab., bibliogr. s. 119-120
Tytuł własny numeru
Financial markets : principles of modeling forecasting and decision-making
Słowa kluczowe
Procesy zmienności stochastycznej, Modele autoregresji, Rynki finansowe
Stochastic Volatility Processes, Autoregression models, Financial markets
Abstrakt
Chapter 6 presents the methods for online detection of a change in the unconditional volatility. A test based on a moving sum is proposed and evaluated. The test has a controlled asymptotic size, i.e. the false alarm probability during an infinitely long monitoring period is fixed. The effects of autoregression and conditional heteroscedasticity have been also addressed and a test that allows for heteroscedasticity has been proposed. The testing procedures are exemplified with the Hang Seng Index to see whether a shift during the Asian crises period could have been detected online (fragment of text)
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Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
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Bibliografia
Pokaż
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  16. Frisén M., de Mare J. (1991), "Optimal Surveillance", Biometrika, 78, 271-280.
  17. Frisén M., Wessman P. (1999), "Evaluations of Likelihood Ratio Methods for Surveillance. Differences and Robustness", Communications in Statistics. Simulations and Computations, 28, 597-622.
  18. Hsu D. A. (1977), 'Tests for Variance Shift at an Unknown Time Point", Journal of the Royal Statistical Society, C, 26, 279-284.
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  20. Karunatilleka E. (1999), "The Asian Economic Crisis. Research Report", House of Commons Library, 14.
  21. Kim S., Cho S., Lee S. (2000), "On the Cusum Test for Parameter Changes in GARCH(1,1) Models", Communications in Statistics - Theory and Methods, 29, 445-462.
  22. Kokoszka P., Leipus R. (2000), "Change-Point Estimation in ARCH Models", Bernoulli, 6, 513-539.
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  24. Lai T. L. (1995), "Sequential Changepoint Detection in Quality Control and Dynamic Systems", Journal of the Royal Statistical Society, B, 57, 613-658.
  25. Lee S., Park S. (2001), 'The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes", Scandinavian Journal of Statistics, 28, 625-644.
  26. Lee S., Tokutsu Y., Maekawa K. (2003), The Residual Cusum Test for the Constancy of Parameters in GARCH(1,1) Models. Research Report, Seoul: Seoul National University.
  27. Leisch F., Hornik K., Kuan C.-M. (2000), "Monitoring Structural Changes with the Generalized Fluctation Test", Econometric Theory, 16, 835-854.
  28. Lundbergh S., Teräsvirta T. (2002), "Evaluating GARCH Models", Journal of Econometrics, 110.
  29. McConnell M. M., Perez Quiros G. (2000), "Output Fluctuations in the United States: What Has Changed Since the Early 1980s?", American Economic Review, 90, 1464-1476.
  30. Pollak M., Siegmund D. (1975), "Approximations to the Expected Sample Size of Certain Sequential Tests", Annals of Statistics, 3, 1267-1282.
  31. Sakata T. (1988). "Detecting a Change in Variances", Communications in Statistics-Theory and Methods, 17, 641-655.
  32. Shewhart W. A. (1931), Economic Control of Quality of Manufactured Product, London: MacMillan.
  33. Srivastava M. S., Wu Y. (1993), "Comparison of EWMA, CUSUM and Shiryayev-Roberts Procedures for Detecting a Shift in the Mean", Annals of Statistics, 21, 645-670.
  34. Talwar P. P., Gentle J. E. (1981), "Detecting a Scale Shift in a Random Sequence at an Unknown Time Point", Journal of the Royal Statistical Society, C, 30, 301-304.
  35. Wetherhill G. B., Brown D. W. (1991), Statistical Process Control: Theory and Practice, London: Chapman & Hill.
  36. Wichern D. W., Miller R. B., Hsu D.-A. (1976), "Changes of Variance in First-Order Autoregressive Time Series Models-With an Application", Applied Statistics, 25, 248-256.
  37. Zeileis A., Leisch F., Kleiber C., Hornik K. (2005), "Monitoring Structural Change in Dynamic Econometric Models", Journal of Applied Econometrics, 20, 99-121.
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Język
eng
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