Pages that link to "Item:Q4853099"

The following pages link to Detecting parameter shift in garch models (Q4853099):

Displaying 16 items.

• Powerful tests for structural changes in volatility (Q528175) (← links)
• Testing for parameter changes in ARCH models (Q1568067) (← links)
• Empirical process of the squared residuals of an ARCH sequence (Q1848867) (← links)
• Evaluating GARCH models. (Q1858977) (← links)
• A new fluctuation test for constant variances with applications to finance (Q1928381) (← links)
• Simultaneous inference for time-varying models (Q2116345) (← links)
• Detection of multiple change-points in multivariate time series (Q2471636) (← links)
• A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference (Q2637362) (← links)
• Asymmetric Volatility Models with Structural Breaks (Q3168366) (← links)
• The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models (Q3625281) (← links)
• Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications (Q4781081) (← links)
• Parameter changes in GARCH model (Q5123601) (← links)
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS (Q5314884) (← links)
• DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS (Q5741626) (← links)
• Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation (Q5860951) (← links)
• Bayesian modelling of time-varying conditional heteroscedasticity (Q6117927) (← links)