2 citations · 2 across the 3 of their papers we have counts for
3 papers
econ.EM2024
Sequential monitoring for explosive volatility regimes
Lajos Horvath, Lorenzo Trapani, Shixuan Wang
In this paper, we develop two families of sequential monitoring procedure to (timely) detect changes in a GARCH(1,1) model. Whilst our methodologies can be applied for the general…
stat.ME2024
Detection of a structural break in intraday volatility pattern
Piotr Kokoszka, Tim Kutta, Neda Mohammadi +2
We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern. The new theory is developed in the framework of Functional Da…
stat.ME2023★ 2 cited
Functional diffusion driven stochastic volatility model
Piotr Kokoszka, Neda Mohammadi, Haonan Wang +1
We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday pric…