Nonparametric estimation of structural change points in volatility models for time series
- Author
- GONGMENG CHEN1 ; CHOI, Yoon K2 ; ZHOU, Yong3
[1] School of accounting and Finance, The Hong Kong Polytechnic University, Kowloon, Hong-Kong
[2] Department of Finance, College of Business Administration, University of Central Florida, Orlando, FL 32816, United States
[3] Financial Risk Management Research Group, Chinese Academy of Science, Beijing 100080, China - Source
Journal of econometrics. 2005, Vol 126, Num 1, pp 79-114, 36 p ; ref : 1 p.1/2
- CODEN
- JECMB6
- ISSN
- 0304-4076
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Keyword (fr)
- Comportement asymptotique Donnée économique Econométrie Estimation densité Estimation non paramétrique Estimation ponctuelle Loi conditionnelle Loi marginale Marché valeurs Modèle structure Méthode moindre carré Point changement Régression statistique Série temporelle 62F10 62F12 62G05 62G20 62Jxx 62M10 Propriété asymptotique
- Keyword (en)
- Asymptotic behavior Economic data Econometrics Density estimation Non parametric estimation Point estimation Conditional distribution Marginal distribution Stock markets Structural model Least squares method Change point Statistical regression Time series Asymptotic property
- Keyword (es)
- Comportamiento asintótico Dato económico Econometría Estimación densidad Estimación no paramétrica Estimación puntual Ley condicional Ley marginal Modelo estructura Método cuadrado menor Punto cambio Regresión estadística Serie temporal
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02H Nonparametric inference
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02M Inference from stochastic processes; time series analysis
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 16455801
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Access to the document
Install on your browser
DOI
10.1016/j.jeconom.2004.02.008 
https://dx.doi.org/10.1016/j.jeconom.2004.02.008
"O:13:\"PanistOpenUrl\":36:{s:10:\"\u0000*\u0000openUrl\";N;s:6:\"\u0000*\u0000idc\";N;s:6:\"\u0000*\u0000fmt\";s:7:\"journal\";s:6:\"\u0000*\u0000doi\";s:29:\"10.1016\/j.jeconom.2004.02.008\";s:6:\"\u0000*\u0000pii\";s:0:\"\";s:7:\"\u0000*\u0000pmid\";s:0:\"\";s:9:\"\u0000*\u0000atitle\";s:89:\"Nonparametric estimation of structural change points in volatility models for time series\";s:9:\"\u0000*\u0000jtitle\";s:23:\"Journal of econometrics\";s:9:\"\u0000*\u0000stitle\";s:9:\"J. econom\";s:7:\"\u0000*\u0000date\";s:4:\"2005\";s:9:\"\u0000*\u0000volume\";s:3:\"126\";s:8:\"\u0000*\u0000issue\";s:1:\"1\";s:8:\"\u0000*\u0000spage\";s:2:\"79\";s:8:\"\u0000*\u0000epage\";s:3:\"114\";s:8:\"\u0000*\u0000pages\";s:0:\"\";s:7:\"\u0000*\u0000issn\";s:9:\"0304-4076\";s:8:\"\u0000*\u0000eissn\";s:0:\"\";s:9:\"\u0000*\u0000aulast\";s:13:\"GONGMENG CHEN\";s:10:\"\u0000*\u0000aufirst\";s:0:\"\";s:9:\"\u0000*\u0000auinit\";s:0:\"\";s:10:\"\u0000*\u0000auinitm\";s:0:\"\";s:5:\"\u0000*\u0000au\";a:2:{i:0;s:12:\"CHOI, Yoon K\";i:1;s:10:\"ZHOU, Yong\";}s:9:\"\u0000*\u0000aucorp\";s:0:\"\";s:7:\"\u0000*\u0000isbn\";s:0:\"\";s:8:\"\u0000*\u0000coden\";s:6:\"JECMB6\";s:8:\"\u0000*\u0000genre\";s:7:\"article\";s:7:\"\u0000*\u0000part\";s:0:\"\";s:9:\"\u0000*\u0000btitle\";s:0:\"\";s:8:\"\u0000*\u0000title\";s:89:\"Nonparametric estimation of structural change points in volatility models for time series\";s:8:\"\u0000*\u0000place\";s:9:\"Amsterdam\";s:6:\"\u0000*\u0000pub\";s:8:\"Elsevier\";s:10:\"\u0000*\u0000edition\";s:0:\"\";s:9:\"\u0000*\u0000tpages\";s:2:\"36\";s:9:\"\u0000*\u0000series\";s:0:\"\";s:8:\"\u0000*\u0000proxy\";s:30:\"http:\/\/proxyout.inist.fr:8080\/\";s:12:\"\u0000*\u0000integrite\";b:1;}"
Panist access
"O:12:\"IstexOpenUrl\":35:{s:10:\"\u0000*\u0000openUrl\";N;s:6:\"\u0000*\u0000fmt\";s:7:\"journal\";s:6:\"\u0000*\u0000doi\";s:29:\"10.1016\/j.jeconom.2004.02.008\";s:6:\"\u0000*\u0000pii\";s:0:\"\";s:7:\"\u0000*\u0000pmid\";s:0:\"\";s:9:\"\u0000*\u0000atitle\";s:89:\"Nonparametric estimation of structural change points in volatility models for time series\";s:9:\"\u0000*\u0000jtitle\";s:23:\"Journal of econometrics\";s:9:\"\u0000*\u0000stitle\";s:9:\"J. econom\";s:7:\"\u0000*\u0000date\";s:4:\"2005\";s:9:\"\u0000*\u0000volume\";s:3:\"126\";s:8:\"\u0000*\u0000issue\";s:1:\"1\";s:8:\"\u0000*\u0000spage\";s:2:\"79\";s:8:\"\u0000*\u0000epage\";s:3:\"114\";s:8:\"\u0000*\u0000pages\";s:0:\"\";s:7:\"\u0000*\u0000issn\";s:9:\"0304-4076\";s:8:\"\u0000*\u0000eissn\";s:0:\"\";s:9:\"\u0000*\u0000aulast\";s:13:\"GONGMENG CHEN\";s:10:\"\u0000*\u0000aufirst\";s:0:\"\";s:9:\"\u0000*\u0000auinit\";s:0:\"\";s:10:\"\u0000*\u0000auinitm\";s:0:\"\";s:5:\"\u0000*\u0000au\";a:2:{i:0;s:12:\"CHOI, Yoon K\";i:1;s:10:\"ZHOU, Yong\";}s:9:\"\u0000*\u0000aucorp\";s:0:\"\";s:7:\"\u0000*\u0000isbn\";s:0:\"\";s:8:\"\u0000*\u0000coden\";s:6:\"JECMB6\";s:8:\"\u0000*\u0000genre\";s:7:\"article\";s:7:\"\u0000*\u0000part\";s:0:\"\";s:9:\"\u0000*\u0000btitle\";s:0:\"\";s:8:\"\u0000*\u0000title\";s:89:\"Nonparametric estimation of structural change points in volatility models for time series\";s:8:\"\u0000*\u0000place\";s:9:\"Amsterdam\";s:6:\"\u0000*\u0000pub\";s:8:\"Elsevier\";s:10:\"\u0000*\u0000edition\";s:0:\"\";s:9:\"\u0000*\u0000tpages\";s:2:\"36\";s:9:\"\u0000*\u0000series\";s:0:\"\";s:8:\"\u0000*\u0000proxy\";s:30:\"http:\/\/proxyout.inist.fr:8080\/\";s:12:\"\u0000*\u0000integrite\";b:1;}"
Istex access
"O:16:\"UnpaywallOpenUrl\":35:{s:8:\"\u0000*\u0000email\";s:27:\"assistance-portail@inist.fr\";s:6:\"\u0000*\u0000fmt\";N;s:6:\"\u0000*\u0000doi\";s:29:\"10.1016\/j.jeconom.2004.02.008\";s:6:\"\u0000*\u0000pii\";N;s:7:\"\u0000*\u0000pmid\";N;s:9:\"\u0000*\u0000atitle\";N;s:9:\"\u0000*\u0000jtitle\";N;s:9:\"\u0000*\u0000stitle\";N;s:7:\"\u0000*\u0000date\";N;s:9:\"\u0000*\u0000volume\";N;s:8:\"\u0000*\u0000issue\";N;s:8:\"\u0000*\u0000spage\";N;s:8:\"\u0000*\u0000epage\";N;s:8:\"\u0000*\u0000pages\";N;s:7:\"\u0000*\u0000issn\";N;s:8:\"\u0000*\u0000eissn\";N;s:9:\"\u0000*\u0000aulast\";N;s:10:\"\u0000*\u0000aufirst\";N;s:9:\"\u0000*\u0000auinit\";N;s:10:\"\u0000*\u0000auinitm\";N;s:5:\"\u0000*\u0000au\";N;s:9:\"\u0000*\u0000aucorp\";N;s:7:\"\u0000*\u0000isbn\";N;s:8:\"\u0000*\u0000coden\";N;s:8:\"\u0000*\u0000genre\";N;s:7:\"\u0000*\u0000part\";N;s:9:\"\u0000*\u0000btitle\";N;s:8:\"\u0000*\u0000title\";N;s:8:\"\u0000*\u0000place\";N;s:6:\"\u0000*\u0000pub\";N;s:10:\"\u0000*\u0000edition\";N;s:9:\"\u0000*\u0000tpages\";N;s:9:\"\u0000*\u0000series\";N;s:8:\"\u0000*\u0000proxy\";s:30:\"http:\/\/proxyout.inist.fr:8080\/\";s:12:\"\u0000*\u0000integrite\";N;}"
Unpaywall access
"O:16:\"EuropePMCOpenUrl\":35:{s:10:\"\u0000*\u0000openUrl\";N;s:6:\"\u0000*\u0000fmt\";s:7:\"journal\";s:6:\"\u0000*\u0000doi\";s:29:\"10.1016\/j.jeconom.2004.02.008\";s:6:\"\u0000*\u0000pii\";s:0:\"\";s:7:\"\u0000*\u0000pmid\";s:0:\"\";s:9:\"\u0000*\u0000atitle\";s:89:\"Nonparametric estimation of structural change points in volatility models for time series\";s:9:\"\u0000*\u0000jtitle\";s:23:\"Journal of econometrics\";s:9:\"\u0000*\u0000stitle\";s:9:\"J. econom\";s:7:\"\u0000*\u0000date\";s:4:\"2005\";s:9:\"\u0000*\u0000volume\";s:3:\"126\";s:8:\"\u0000*\u0000issue\";s:1:\"1\";s:8:\"\u0000*\u0000spage\";s:2:\"79\";s:8:\"\u0000*\u0000epage\";s:3:\"114\";s:8:\"\u0000*\u0000pages\";s:0:\"\";s:7:\"\u0000*\u0000issn\";s:9:\"0304-4076\";s:8:\"\u0000*\u0000eissn\";s:0:\"\";s:9:\"\u0000*\u0000aulast\";s:13:\"GONGMENG CHEN\";s:10:\"\u0000*\u0000aufirst\";s:0:\"\";s:9:\"\u0000*\u0000auinit\";s:0:\"\";s:10:\"\u0000*\u0000auinitm\";s:0:\"\";s:5:\"\u0000*\u0000au\";a:2:{i:0;s:12:\"CHOI, Yoon K\";i:1;s:10:\"ZHOU, Yong\";}s:9:\"\u0000*\u0000aucorp\";s:0:\"\";s:7:\"\u0000*\u0000isbn\";s:0:\"\";s:8:\"\u0000*\u0000coden\";s:6:\"JECMB6\";s:8:\"\u0000*\u0000genre\";s:7:\"article\";s:7:\"\u0000*\u0000part\";s:0:\"\";s:9:\"\u0000*\u0000btitle\";s:0:\"\";s:8:\"\u0000*\u0000title\";s:89:\"Nonparametric estimation of structural change points in volatility models for time series\";s:8:\"\u0000*\u0000place\";s:9:\"Amsterdam\";s:6:\"\u0000*\u0000pub\";s:8:\"Elsevier\";s:10:\"\u0000*\u0000edition\";s:0:\"\";s:9:\"\u0000*\u0000tpages\";s:2:\"36\";s:9:\"\u0000*\u0000series\";s:0:\"\";s:8:\"\u0000*\u0000proxy\";s:30:\"http:\/\/proxyout.inist.fr:8080\/\";s:12:\"\u0000*\u0000integrite\";b:1;}"
Europe PubMed Central access
"O:11:\"BaseOpenUrl\":35:{s:10:\"\u0000*\u0000openUrl\";N;s:6:\"\u0000*\u0000fmt\";s:7:\"journal\";s:6:\"\u0000*\u0000doi\";s:29:\"10.1016\/j.jeconom.2004.02.008\";s:6:\"\u0000*\u0000pii\";s:0:\"\";s:7:\"\u0000*\u0000pmid\";s:0:\"\";s:9:\"\u0000*\u0000atitle\";s:89:\"Nonparametric estimation of structural change points in volatility models for time series\";s:9:\"\u0000*\u0000jtitle\";s:23:\"Journal of econometrics\";s:9:\"\u0000*\u0000stitle\";s:9:\"J. econom\";s:7:\"\u0000*\u0000date\";s:4:\"2005\";s:9:\"\u0000*\u0000volume\";s:3:\"126\";s:8:\"\u0000*\u0000issue\";s:1:\"1\";s:8:\"\u0000*\u0000spage\";s:2:\"79\";s:8:\"\u0000*\u0000epage\";s:3:\"114\";s:8:\"\u0000*\u0000pages\";s:0:\"\";s:7:\"\u0000*\u0000issn\";s:9:\"0304-4076\";s:8:\"\u0000*\u0000eissn\";s:0:\"\";s:9:\"\u0000*\u0000aulast\";s:13:\"GONGMENG CHEN\";s:10:\"\u0000*\u0000aufirst\";s:0:\"\";s:9:\"\u0000*\u0000auinit\";s:0:\"\";s:10:\"\u0000*\u0000auinitm\";s:0:\"\";s:5:\"\u0000*\u0000au\";a:2:{i:0;s:12:\"CHOI, Yoon K\";i:1;s:10:\"ZHOU, Yong\";}s:9:\"\u0000*\u0000aucorp\";s:0:\"\";s:7:\"\u0000*\u0000isbn\";s:0:\"\";s:8:\"\u0000*\u0000coden\";s:6:\"JECMB6\";s:8:\"\u0000*\u0000genre\";s:7:\"article\";s:7:\"\u0000*\u0000part\";s:0:\"\";s:9:\"\u0000*\u0000btitle\";s:0:\"\";s:8:\"\u0000*\u0000title\";s:89:\"Nonparametric estimation of structural change points in volatility models for time series\";s:8:\"\u0000*\u0000place\";s:9:\"Amsterdam\";s:6:\"\u0000*\u0000pub\";s:8:\"Elsevier\";s:10:\"\u0000*\u0000edition\";s:0:\"\";s:9:\"\u0000*\u0000tpages\";s:2:\"36\";s:9:\"\u0000*\u0000series\";s:0:\"\";s:8:\"\u0000*\u0000proxy\";s:30:\"http:\/\/proxyout.inist.fr:8080\/\";s:12:\"\u0000*\u0000integrite\";b:1;}"
Base Search access
"O:12:\"ArXivOpenUrl\":35:{s:10:\"\u0000*\u0000openUrl\";N;s:6:\"\u0000*\u0000fmt\";s:7:\"journal\";s:6:\"\u0000*\u0000doi\";s:29:\"10.1016\/j.jeconom.2004.02.008\";s:6:\"\u0000*\u0000pii\";s:0:\"\";s:7:\"\u0000*\u0000pmid\";s:0:\"\";s:9:\"\u0000*\u0000atitle\";s:89:\"Nonparametric estimation of structural change points in volatility models for time series\";s:9:\"\u0000*\u0000jtitle\";s:23:\"Journal of econometrics\";s:9:\"\u0000*\u0000stitle\";s:9:\"J. econom\";s:7:\"\u0000*\u0000date\";s:4:\"2005\";s:9:\"\u0000*\u0000volume\";s:3:\"126\";s:8:\"\u0000*\u0000issue\";s:1:\"1\";s:8:\"\u0000*\u0000spage\";s:2:\"79\";s:8:\"\u0000*\u0000epage\";s:3:\"114\";s:8:\"\u0000*\u0000pages\";s:0:\"\";s:7:\"\u0000*\u0000issn\";s:9:\"0304-4076\";s:8:\"\u0000*\u0000eissn\";s:0:\"\";s:9:\"\u0000*\u0000aulast\";s:13:\"GONGMENG CHEN\";s:10:\"\u0000*\u0000aufirst\";s:0:\"\";s:9:\"\u0000*\u0000auinit\";s:0:\"\";s:10:\"\u0000*\u0000auinitm\";s:0:\"\";s:5:\"\u0000*\u0000au\";a:2:{i:0;s:12:\"CHOI, Yoon K\";i:1;s:10:\"ZHOU, Yong\";}s:9:\"\u0000*\u0000aucorp\";s:0:\"\";s:7:\"\u0000*\u0000isbn\";s:0:\"\";s:8:\"\u0000*\u0000coden\";s:6:\"JECMB6\";s:8:\"\u0000*\u0000genre\";s:7:\"article\";s:7:\"\u0000*\u0000part\";s:0:\"\";s:9:\"\u0000*\u0000btitle\";s:0:\"\";s:8:\"\u0000*\u0000title\";s:89:\"Nonparametric estimation of structural change points in volatility models for time series\";s:8:\"\u0000*\u0000place\";s:9:\"Amsterdam\";s:6:\"\u0000*\u0000pub\";s:8:\"Elsevier\";s:10:\"\u0000*\u0000edition\";s:0:\"\";s:9:\"\u0000*\u0000tpages\";s:2:\"36\";s:9:\"\u0000*\u0000series\";s:0:\"\";s:8:\"\u0000*\u0000proxy\";s:30:\"http:\/\/proxyout.inist.fr:8080\/\";s:12:\"\u0000*\u0000integrite\";b:1;}"
arXiv access
