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

DOI

10.20347/WIAS.PREPRINT.1379

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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