Pages that link to "Item:Q4853099"
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The following pages link to Detecting parameter shift in garch models (Q4853099):
Displayed 10 items.
- 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)
- 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)
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS (Q5314884) (← links)