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Edoh KATCHEKPELE

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Graciela Boente

University of Yaounde I

University of Cambridge

daniela rodriguez

Universidade de Vigo

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Papers by Edoh KATCHEKPELE

Nadaraya-Watson estimation of a nonparametric autoregressive model

by Ben Célestin KOUASSI and Edoh KATCHEKPELE

Malaya Journal of Matematik

We investigate the asymptotic behavior of the Nadaraya-Watson (NW) estimator of the regression fu... more

On change-point detection in GARCH models

Afrika Statistika

On change-point detection in GARCH models

Afrika Statistika

On change-point detection in volatile series using GARCH models

Afrika Statistika

We study a Cumulative Sum (CUSUM)-type test to detect a change in the unconditional variance of G... more We study a Cumulative Sum (CUSUM)-type test to detect a change in the unconditional variance of GARCH models. We show that, under the null hypothesis (no change), the CUSUM test statistic converges to the supremum of a standard Brownian bridge. Using Monte Carlo simulation, we demonstrate that the asymptotic power of the test is almost 1 and compare the test result with existing results in the literature. Finally, the test procedure is applied to real-world situation namely stock market returns where we are able to detect a change in the unconditional variance at a very early stage of the financial crisis in comparison to other previous analyses of the same dataset.

Alienor’s Approach for the Pearson Type 3 Parameters Estimation

Far East Journal of Applied Mathematics

On change-point detection in volatile series using GARCH models

Afrika Statistika

We study a Cumulative Sum (CUSUM)-type test to detect a change in the unconditional variance of G... more We study a Cumulative Sum (CUSUM)-type test to detect a change in the unconditional variance of GARCH models. We show that, under the null hypothesis (no change), the CUSUM test statistic converges to the supremum of a standard Brownian bridge. Using Monte Carlo simulation, we demonstrate that the asymptotic power of the test is almost 1 and compare the test result with existing results in the literature. Finally, the test procedure is applied to real-world situation namely stock market returns where we are able to detect a change in the unconditional variance at a very early stage of the financial crisis in comparison to other previous analyses of the same dataset.

Nadaraya-Watson estimation of a nonparametric autoregressive model

by Ben Célestin KOUASSI and Edoh KATCHEKPELE

Malaya Journal of Matematik

We investigate the asymptotic behavior of the Nadaraya-Watson (NW) estimator of the regression fu... more

On change-point detection in GARCH models

Afrika Statistika

On change-point detection in GARCH models

Afrika Statistika

On change-point detection in volatile series using GARCH models

Afrika Statistika

We study a Cumulative Sum (CUSUM)-type test to detect a change in the unconditional variance of G... more We study a Cumulative Sum (CUSUM)-type test to detect a change in the unconditional variance of GARCH models. We show that, under the null hypothesis (no change), the CUSUM test statistic converges to the supremum of a standard Brownian bridge. Using Monte Carlo simulation, we demonstrate that the asymptotic power of the test is almost 1 and compare the test result with existing results in the literature. Finally, the test procedure is applied to real-world situation namely stock market returns where we are able to detect a change in the unconditional variance at a very early stage of the financial crisis in comparison to other previous analyses of the same dataset.

Alienor’s Approach for the Pearson Type 3 Parameters Estimation

Far East Journal of Applied Mathematics

On change-point detection in volatile series using GARCH models

Afrika Statistika

We study a Cumulative Sum (CUSUM)-type test to detect a change in the unconditional variance of G... more We study a Cumulative Sum (CUSUM)-type test to detect a change in the unconditional variance of GARCH models. We show that, under the null hypothesis (no change), the CUSUM test statistic converges to the supremum of a standard Brownian bridge. Using Monte Carlo simulation, we demonstrate that the asymptotic power of the test is almost 1 and compare the test result with existing results in the literature. Finally, the test procedure is applied to real-world situation namely stock market returns where we are able to detect a change in the unconditional variance at a very early stage of the financial crisis in comparison to other previous analyses of the same dataset.