Nonparametric change-pointanalysis of volatility

Markus Bibinger, Moritz Jirak & Mathias Vetter
This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itˆo semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the underlying stochastic volatility process. In a high-frequency framework we prove weak convergence of the test statistic under the hypothesis to an extreme value distribution. As a key example, under extremely mild smoothness assumptions on...
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