Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility

doi:10.1016/j.jeconom.2007.10.001

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	Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
	Chen, Gongmeng 2; Choi, Yoon K.3; Zhou, Yong1,4
	2008-04-01
发表期刊	JOURNAL OF ECONOMETRICS
ISSN	0304-4076
卷号	143 期号:2 页码:227-262
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.
关键词	nonparametric regression wavelet coefficient change points kernel estimation local polynomial smoother conditional heteroscedastic variance alpha-mixing
DOI	10.1016/j.jeconom.2007.10.001
语种	英语
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000254090400001
出版者	ELSEVIER SCIENCE SA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/6721
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.