Numerical Analysis of Volatility Change Point Estimators for Discretely Sampled Stochastic Differential Equations

Authors

  • Stefano M. Iacus,

    1. Corresponding author: Stefano M. Iacus, Department of Economics, Business and Statistics, University of Milan, Via Conservatorio 7, 20122 Milan, Italy. E-mail: stefano.iacus@unimi.it
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  • Nakahiro Yoshida

    1. University of Tokyo, and Japan Science and Technology Agency, Graduate School of Mathematical Sciences, University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo 153-8914, Japan
      We thanks two anonymous referees and the two Editors for the valuable comments to improve the paper.
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Abstract

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.

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