Detecting structural breaks in realized volatility (Q1727922): Difference between revisions

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+Modeling and Forecasting Realized Volatility
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+Structural breaks in time series
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+On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
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+Modelling structural breaks, long memory and stock market volatility: an overview
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+Realized kernels in practice: trades and quotes
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+SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
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+The efficiency of the estimators of the parameters in GARCH processes.
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+GARCH processes: structure and estimation
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+Q5560061
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+The Volatility of Realized Volatility
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+Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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+Neglecting parameter changes in GARCH models
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+Q4494135
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+Infinite-order, long-memory heterogeneous autoregressive models
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+A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
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+Uniform change point tests in high dimension
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+Score test for parameter change in Poisson autoregressive models
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+Tests for Volatility Shifts in Garch Against Long‐Range Dependence
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+Mean shift testing in correlated data
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+Parameter change tests for ARMA-GARCH models
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+Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
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+Tests for change-points with epidemic alternatives
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