2015-01-12Buch DOI: 10.18452/4565
Nonparametric change-pointanalysis of volatility
This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itˆo semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the underlying stochastic volatility process. In a high-frequency framework we prove weak convergence of the test statistic under the hypothesis to an extreme value distribution. As a key example, under extremely mild smoothness assumptions on the stochastic volatility we thereby derive a consistent test for volatility jumps. A simulation study demonstrates the practical value in finite-sample applications.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 8, SFB 649 Papers, ISSN:1860-5664