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Author: Spokoiny, Vladimir × Subject: Bernoulli model ×

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    Locally time homogeneous time series modelling
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2008) Elagin, Mstislav; Spokoiny, Vladimir
    In this paper three locally adaptive estimation methods are applied to the problems of variance forecasting, value-at-risk analysis and volatility estimation within the context of nonstationary financial time series. A general procedure for the computation of critical values is given. Numerical results exhibit a very reasonable performance of the methods.