Detecting parameter shift in garch models (Q4853099): Difference between revisions

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+Maximum-Likelihood Estimation of Parameters Subject to Restraints
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+Tests for Parameter Instability and Structural Change With Unknown Change Point
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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+Q5560061
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+Generalized autoregressive conditional heteroscedasticity
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+ARCH modeling in finance. A review of the theory and empirical evidence
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+Crossing probabilities for a square root boundary by a bessel process
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Tests for a change-point
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+A new test for structural stability in the linear regression model
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+ARMA MODELS WITH ARCH ERRORS
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+Maximum Likelihood Estimation of Misspecified Models
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