Browsing by Subject "Kolmogorov-Smirnov"

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Change Point Estimation in Volatility of a Time series using a Kolmogorov Smirnov Type Test Statistic

Ngure, Josephine Njeri; Waititu, Anthony Gichuhi (MksU Press, 2021-06)

Detection of structural change in volatility of a time series is very important for understanding volatility dynamics and the stylized facts observed in financial time series. By applying the Nadaraya Watson kernel ...
Change Point Estimation in Volatility of a Time series using a Kolmogorov Smirnov Type Test Statistic

Ngure, Josephine Njeri; Waititu, Anthony Gichuhi (Machakos University, 2019-04)

Detection of structural change in volatility of a time series is very important for understanding volatility dynamics and the stylized facts observed in financial time series. By applying the Nadaraya Watson kernel ...