BaSTA : consistent multiscale multiple change-point detection for ARCH processes

@inproceedings{Fryzlewicz2013BaSTAC,
  title={BaSTA : consistent multiscale multiple change-point detection for ARCH processes},
  author={Piotr Fryzlewicz and S. Subba Rao},
  year={2013}
}
The emergence of the recent financial crisis, during which markets frequently underwent changes in their statistical structure over a short period of time, illustrates the importance of non-stationary modelling in financial time series. Motivated by this observation, we propose a fast, well-performing and theoretically tractable method for detecting multiple change-points in the structure of an ARCH model for financial returns with piecewise-constant parameter values. Our method, termed BaSTA… CONTINUE READING
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