Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations

Stefano Iacus () and Nakahiro Yoshida

Economic Notes, 2010, vol. 39, issue 1‐2, 107-127

Abstract: In this paper, we review recent advances on change point estimation for the volatility component of stochastic differential equations under different discrete sampling schemes. We consider both ergodic and non‐ergodic cases, and present a Monte Carlo study on the change point estimator to compare the three methods under different setups.

Date: 2010
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