Quasi-maximum likelihood estimation for multiple volatility shifts

Moosup Kim, Taewook Lee, Jungsik Noh, Changryong Baek

Research output: Contribution to journalArticle

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 languageEnglish (US)
Pages (from-to)50-60
Number of pages11
JournalStatistics and Probability Letters
Volume86
Issue number1
DOIs
Publication statusPublished - Mar 1 2014

    Fingerprint

Keywords

  • Change point analysis
  • Quasi-maximum likelihood estimation
  • Volatility shifts

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Cite this