ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
分布中的多个结构突变:经验特征函数方法AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要直接估计和检验多个分布结构突变,且汇率收益应用明确涉及方差变化,因此对应结构变化与金融波动率方向。
分布中的多个结构突变:经验特征函数方法AI 解读 ↓
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We estimate and test for multiple structural breaks in distribution via an empirical characteristic function approach. By minimizing the sum of squared generalized residuals, we can consistently estimate the break fractions. We propose a sup- F type test for structural breaks in distribution as well as an information criterion and a sequential testing procedure to determine the number of breaks. We further construct a class of derivative tests to gauge possible sources of structural breaks, which is asymptotically more powerful than the smoothed nonparametric tests for structural breaks. Simulation studies show that our method performs well in determining the appropriate number of breaks and estimating the unknown breaks. Furthermore, the proposed tests have reasonable size and excellent power in finite samples. In an application to exchange rate returns, our tests are able to detect structural breaks in distribution and locate the break dates. Our tests also indicate that the documented breaks appear to occur in variance and higher-order moments, but not so often in mean.
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多元时间序列模型协方差结构的突变检测
In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models. The test is very flexible as it can be applied, for example, to many of the multivariate GARCH models established in the literature, and also works well in the case of high dimensionality of the underlying data. Since it is nonparametric, the procedure avoids the difficulties associated with parametric…