Testing for change in stochastic volatility with long range dependence
Loading...
Date
2016
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
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.