Quasi-maximum likelihood estimation for multiple volatility shifts

Moosup Kim; Taewook Lee; Jungsik Noh; Changryong Baek

doi:10.1016/j.spl.2013.12.007

Quasi-maximum likelihood estimation for multiple volatility shifts

Moosup Kim, Taewook Lee, Jungsik Noh, Changryong Baek

Research output: Contribution to journal › Article › peer-review

Abstract

We propose the Gaussian quasi-maximum likelihood estimator (QMLE) to detect and locate multiple volatility shifts. Our Gaussian QMLE is shown to be consistent under suitable conditions and the rate of convergence is provided. It is also shown that the binary segmentation procedure provides a consistent estimation for the number of volatility shifts.

Original language	English (US)
Pages (from-to)	50-60
Number of pages	11
Journal	Statistics and Probability Letters
Volume	86
Issue number	1
DOIs	https://doi.org/10.1016/j.spl.2013.12.007
State	Published - Mar 2014

Keywords

Change point analysis
Quasi-maximum likelihood estimation
Volatility shifts

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

Access to Document

10.1016/j.spl.2013.12.007

Cite this

@article{4cdc2377449044089580aa5b455217bc,

title = "Quasi-maximum likelihood estimation for multiple volatility shifts",

abstract = "We propose the Gaussian quasi-maximum likelihood estimator (QMLE) to detect and locate multiple volatility shifts. Our Gaussian QMLE is shown to be consistent under suitable conditions and the rate of convergence is provided. It is also shown that the binary segmentation procedure provides a consistent estimation for the number of volatility shifts.",

keywords = "Change point analysis, Quasi-maximum likelihood estimation, Volatility shifts",

author = "Moosup Kim and Taewook Lee and Jungsik Noh and Changryong Baek",

note = "Funding Information: We would like to thank an Associate Editor and an anonymous Referee for many useful comments and suggestions. This research was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education, Science and Technology ( NRF-2013R1A1A2006796 ).",

year = "2014",

month = mar,

doi = "10.1016/j.spl.2013.12.007",

language = "English (US)",

volume = "86",

pages = "50--60",

journal = "Statistics and Probability Letters",

issn = "0167-7152",

publisher = "Elsevier",

number = "1",

}

TY - JOUR

T1 - Quasi-maximum likelihood estimation for multiple volatility shifts

AU - Kim, Moosup

AU - Lee, Taewook

AU - Noh, Jungsik

AU - Baek, Changryong

N1 - Funding Information: We would like to thank an Associate Editor and an anonymous Referee for many useful comments and suggestions. This research was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education, Science and Technology ( NRF-2013R1A1A2006796 ).

PY - 2014/3

Y1 - 2014/3

N2 - We propose the Gaussian quasi-maximum likelihood estimator (QMLE) to detect and locate multiple volatility shifts. Our Gaussian QMLE is shown to be consistent under suitable conditions and the rate of convergence is provided. It is also shown that the binary segmentation procedure provides a consistent estimation for the number of volatility shifts.

AB - We propose the Gaussian quasi-maximum likelihood estimator (QMLE) to detect and locate multiple volatility shifts. Our Gaussian QMLE is shown to be consistent under suitable conditions and the rate of convergence is provided. It is also shown that the binary segmentation procedure provides a consistent estimation for the number of volatility shifts.

KW - Change point analysis

KW - Quasi-maximum likelihood estimation

KW - Volatility shifts

UR - http://www.scopus.com/inward/record.url?scp=84891891582&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84891891582&partnerID=8YFLogxK

U2 - 10.1016/j.spl.2013.12.007

DO - 10.1016/j.spl.2013.12.007

M3 - Article

AN - SCOPUS:84891891582

SN - 0167-7152

VL - 86

SP - 50

EP - 60

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 1

ER -

Quasi-maximum likelihood estimation for multiple volatility shifts

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this