SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS (Q5314884): Difference between revisions

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+TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES
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+On the Cusum test for parameter changes in garch(1,1) Models
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+Empirical process of the squared residuals of an ARCH sequence
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+Stationarity of GARCH processes and of some nonnegative time series
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+Strict stationarity of generalized autoregressive processes
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+Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
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+Testing for the Constancy of Parameters Over Time
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+Limit results for the empirical process of squared residuals in GARCH models.
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+The efficiency of the estimators of the parameters in GARCH processes.
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+Evaluating GARCH models.
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+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
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+Sequential Change-Point Detection and Estimation
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+The weighted sequential likelihood ratio
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+Monitoring Structural Change
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+Detecting parameter shift in garch models
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+A Martingale Inequality and the Law of Large Numbers
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+Change-point estimation in ARCH models
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@@ Property / cites work @@
+Testing for parameter changes in ARCH models
@@ Property / cites work: Testing for parameter changes in ARCH models / rank @@
+Normal rank
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+Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
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+https://doi.org/10.1017/s0266466604206041
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+W2110769522
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