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. © 2010 The Authors Economic Notes © 2010 Banca Monte dei Paschi di Siena SpA.
Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations / S.M. Iacus, N. Yoshida. - In: ECONOMIC NOTES. - ISSN 0391-5026. - 39:1-2(2010), pp. 107-127. [10.1111/j.1468-0300.2010.00224.x]
Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations
S.M. IacusPrimo
;
2010
Abstract
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. © 2010 The Authors Economic Notes © 2010 Banca Monte dei Paschi di Siena SpA.
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