×
Well done. You've clicked the tower. This would actually achieve something if you had logged in first. Use the key for that. The name takes you home. This is where all the applicables sit. And you can't apply any changes to my site unless you are logged in.

Our policy is best summarized as "we don't care about _you_, we care about _them_", no emails, so no forgetting your password. You have no rights. It's like you don't even exist. If you publish material, I reserve the right to remove it, or use it myself.

Don't impersonate. Don't name someone involuntarily. You can lose everything if you cross the line, and no, I won't cancel your automatic payments first, so you'll have to do it the hard way. See how serious this sounds? That's how serious you're meant to take these.

×
Register


Required. 150 characters or fewer. Letters, digits and @/./+/-/_ only.
  • Your password can’t be too similar to your other personal information.
  • Your password must contain at least 8 characters.
  • Your password can’t be a commonly used password.
  • Your password can’t be entirely numeric.
Enter the same password as before, for verification.
Login

Grow A Dic
Define A Word
Make Space
Set Task
Mark Post
Apply Votestyle
Create Votes
(From: saved spaces)
Exclude Votes
Apply Dic
Exclude Dic

Detection of a structural break in intraday volatility pattern

Click here to flash read.

arXiv:2404.11813v1 Announce Type: new
Abstract: We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern. The new theory is developed in the framework of Functional Data Analysis. It is based on a model akin to the stochastic volatility model for scalar point-to-point returns. In our context, we study intraday curves, one curve per trading day. After postulating a suitable model for such functional data, we present three tests focusing, respectively, on changes in the shape, the magnitude and arbitrary changes in the sequences of the curves of interest. We justify the respective procedures by showing that they have asymptotically correct size and by deriving consistency rates for all tests. These rates involve the sample size (the number of trading days) and the grid size (the number of observations per day). We also derive the corresponding change point estimators and their consistency rates. All procedures are additionally validated by a simulation study and an application to US stocks.

Click here to read this post out
ID: 813683; Unique Viewers: 0
Unique Voters: 0
Total Votes: 0
Votes:
Latest Change: April 19, 2024, 7:33 a.m. Changes:
/u/anonymous
Dictionaries:
Words:
Spaces:
Views: 11
CC:
No creative common's license
Comments: