Detecting level shifts in ARMA-GARCH (1,1) Models (Q3184487): Difference between revisions

@@ Property / cites work @@
+Estimating continuous-time stochastic volatility models of the short-term interest rate
+Normal rank
@@ Property / cites work @@
+Tests for Parameter Instability and Structural Change With Unknown Change Point
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Forecasting volatility in GARCH models with additive outliers
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+The Econometrics of Ultra-high-frequency Data
@@ Property / cites work: The Econometrics of Ultra-high-frequency Data / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo Methodology and the Finite Sample Properties of Instrumental Variables Statistics for Testing Nested and Non-Nested Hypotheses
+Normal rank
@@ Property / cites work @@
+Conflict Among the Criteria Revisited; The W, LR and LM Tests
+Normal rank
@@ Property / cites work @@
+Testing for Structural Change in Dynamic Models
@@ Property / cites work: Testing for Structural Change in Dynamic Models / rank @@
+Normal rank
@@ Property / cites work @@
+High Breakdown Point Conditional Dispersion Estimation with Application to S &amp; P 500 Daily Returns Volatility
+Normal rank
@@ Property / cites work @@
+Specification error caused by level shifts and temporary changes in ARMA–GARCH models
+Normal rank