Skip Navigation

This Article
Right arrow Full Text
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Andreou, E.
Right arrow Articles by Ghysels, E.
Right arrow Search for Related Content
Related Collections
Right arrow C22 - Time-Series Models
Right arrow G12 - Asset Pricing; Trading volume; Bond Interest Rates
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Journal of Financial Econometrics Vol. 2, No. 2, pp. 290-318
© 2004 Oxford University Press; all rights reserved.

The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests

Elena Andreou
     University of Cyprus

Eric Ghysels
     University of North Carolina and CIRANO

Address correspondence to Eric Ghysels, Department of Economics, Gardner Hall, CB 3305, University of North Carolina at Chapel Hill, Chapel Hill, NC 27599, or e-mail: eghysels{at}email.unc.edu

The article evaluates the performance of several recently proposed change-point tests applied to conditional variance dynamics and conditional distributions of asset returns. These are CUSUM-type tests for ß-mixing processes and EDF-based tests for the residuals of such nonlinear dependent processes. Hence the tests apply to the class of ARCH- and SV-type processes as well as data-driven volatility estimators using high-frequency data. It is shown that some of the high-frequency volatility estimators substantially improve the power of the structural break tests, especially for detecting changes in the tail of the conditional distribution. Similarly certain types of filtering and transformation of the returns process can improve the power of CUSUM statistics. We also explore the impact of sampling frequency on each of the test statistics.

KEYWORDS: change-point tests, CUSUM, GARCH, high-frequency data, Kolmogorov-Smirnov, location-scale distribution family, power variation, quadratic variation

Received October 25, 2002; revised January 19, 2004; accepted January 28, 2004


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 JOURNAL OF FINANCIAL ECONOMETRICSHome page
P. Galeano and R. S. Tsay
Shifts in Individual Parameters of a GARCH Model
J. Financial Econometrics, August 18, 2009; (2009) nbp007v1.
[Abstract] [Full Text] [PDF]


Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.