Article(electronic)#1February 2010
Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations
In: Economic notes, Volume 39, Issue 1-2, p. 107-127
ISSN: 1468-0300
In this paper, we review recent advances on change point estimation for the volatility component of stochastic differential equations under different discrete sampling schemes. We consider both ergodic and non‐ergodic cases, and present a Monte Carlo study on the change point estimator to compare the three methods under different setups.