WIAS Preprint No. 1379, (2008)

Locally time homogeneous time series modelling



Authors

  • Elagin, Mstislav
  • Spokoiny, Vladimir
    ORCID: 0000-0002-2040-3427

2010 Mathematics Subject Classification

  • 62M10

Keywords

  • Adaptive estimation, local homogeneity, model selection, stagewise aggregation, volatility model, Poisson model, exponential model, Bernoulli model, propagation, oracle

Abstract

In this paper three locally adaptive estimation methods are applied to the problems of variance forecasting, value-at-risk analysis and volatility estimation within the context of nonstationary financial time series. A general procedure for the computation of critical values is given. Numerical results exhibit a very reasonable performance of the methods.

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