Browsing Research and Publications by Author "Waititu, Anthony Gichuhi"
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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 ...