Test for parameter change in ARMA models with GARCH innovations (Q947213): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spl.2008.01.068
+Normal rank
@@ Property / OpenAlex ID @@
+W1984746506
@@ Property / OpenAlex ID: W1984746506 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for parameter constancy in GARCH\((p,q)\) models
+Normal rank
@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4391131
@@ Property / cites work: Q4391131 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4348180
@@ Property / cites work: Q4348180 / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
+Normal rank
@@ Property / cites work @@
+Change-point estimation in ARCH models
@@ Property / cites work: Change-point estimation in ARCH models / rank @@
+Normal rank
@@ Property / cites work @@
+The Cusum Test for Parameter Change in Time Series Models
+Normal rank
@@ Property / cites work @@
+On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
+Normal rank
@@ Property / cites work @@
+Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
+Normal rank
@@ Property / cites work @@
+Testing for change points in time series models and limiting theorems for NED sequences
+Normal rank
@@ Property / cites work @@
+Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
@@ Property / cites work: ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Testing and estimating change-points in time series
+Normal rank