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

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