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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 (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 ...

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    AuthorNgure, Josephine Njeri (1)Waititu, Anthony Gichuhi (1)Subject
    Change point (1)
    GARCH (1)
    ICSS (1)Kolmogorov-Smirnov (1)Volatility (1)... View MoreDate Issued2019 (1)

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