Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
文献类型：期刊论文
| 作者 | Chen, Gongmeng2; Choi, Yoon K.3; Zhou, Yong1,4
|
| 刊名 | JOURNAL OF ECONOMETRICS
 |
| 出版日期 | 2008-04-01 |
| 卷号 | 143期号:2页码:227-262 |
| 关键词 | nonparametric regression wavelet coefficient change points kernel estimation local polynomial smoother conditional heteroscedastic variance alpha-mixing |
| ISSN号 | 0304-4076 |
| DOI | 10.1016/j.jeconom.2007.10.001 |
| 英文摘要 | In this paper, we propose two estimators, an integral estimator and a discretized estimator, for the wavelet coefficient of regression functions in nonparametric regression models with heteroscedastic variance. These estimators can be used to test the jumps of the regression function. The model allows for lagged-dependent variables and other mixing regressors. The asymptotic distributions of the statistics are established, and the asymptotic critical values are analytically obtained from the asymptotic distribution. We also use the test to determine consistent estimators for the locations of change points. The jump sizes and locations of change points can be consistently estimated using wavelet coefficients, and the convergency rates of these estimators are derived. We perform some Monte Carlo simulations to check the powers and sizes of the test statistics. Finally, we give practical examples in finance and economics to detect changes in stock returns and short-term interest rates using the empirical wavelet method. (C) 2007 Elsevier B.V. All rights reserved. |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000254090400001 |
| 出版者 | ELSEVIER SCIENCE SA |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/6720]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Zhou, Yong |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Shanghai Jiao Tong Univ, Dept Econ, Sch Econ & Management, Shanghai 200030, Peoples R China 3.Univ Cent Florida, Coll Business Adm, Dept Finance, Orlando, FL 32816 USA 4.Shanghai Univ Finance & Econ, Dept Stat, Shanghai 200433, Peoples R China |
| 推荐引用方式 GB/T 7714 | Chen, Gongmeng,Choi, Yoon K.,Zhou, Yong. Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility[J]. JOURNAL OF ECONOMETRICS,2008,143(2):227-262. |
| APA | Chen, Gongmeng,Choi, Yoon K.,&Zhou, Yong.(2008).Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility.JOURNAL OF ECONOMETRICS,143(2),227-262. |
| MLA | Chen, Gongmeng,et al."Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility".JOURNAL OF ECONOMETRICS 143.2(2008):227-262. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。