Authors: Betken, Annika
Kulik, Rafal
Title: Testing for change in stochastic volatility with long range dependence
Language (ISO): en
Abstract: In this paper we consider a change point problem for long memory stochastic volatility models. We show that the limiting behavior for the CUSUM test statistics may not be affected by long memory, unlike the Wilcoxon test statistic which is infuenced by long range dependence. We compare our results to subordinated long memory Gaussian processes. Theoretical properties are accompanied by simulation studies.
URI: http://hdl.handle.net/2003/35317
http://dx.doi.org/10.17877/DE290R-17360
Issue Date: 2016
Appears in Collections:Sonderforschungsbereich (SFB) 823

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