Jennifer S. K. Chan

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We consider two problems concerning locating change points in a linear regression model. One involves jump discontinuities (change-point) in a regression model and the other involves regression lines connected at unknown points. We compare four methods for estimating single or multiple change points in a regression model, when both the error variance and(More)
Extreme value theories indicate that the range is an efficient estimator of local volatility on a financial asset return. This paper proposes a novel geometric process (GP) framework for range data that nests the well known Conditional Autoregressive Range (CARR) model. We extend the GP model of Lam (1988) to a Conditional Autoregressive Geometric Process(More)
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