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


  • 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:
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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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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.