DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS
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Publication:5741626
DOI10.1017/S0266466614000942zbMath1441.62634OpenAlexW2163757898MaRDI QIDQ5741626
Publication date: 29 July 2016
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466614000942
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference ⋮ Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form ⋮ A practical multivariate approach to testing volatility spillover ⋮ Loss function-based change point detection in risk measures ⋮ Time-varying forecast combination for factor-augmented regressions with smooth structural changes ⋮ Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model ⋮ Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises ⋮ Statistical inference for autoregressive models under heteroscedasticity of unknown form ⋮ Estimating and testing for smooth structural changes in moment condition models
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