Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
条件异方差波动下利用小波平滑检测收益变化
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…