Detecting for smooth structural changes in GARCH models
From MaRDI portal
Recommendations
Cites work
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- A STUDY ON GARCH(p, q) PROCESS
- A consistent bootstrap test for conditional density functions with time-series data
- A recursive online algorithm for the estimation of time-varying ARCH parameters
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Detecting parameter shift in garch models
- Estimating and Testing Linear Models with Multiple Structural Changes
- Fitting time series models to nonstationary processes
- GARCH processes: structure and estimation
- High moment partial sum processes of residuals in GARCH models and their applications
- Incorporating support constraints into nonparametric estimators of densities
- Kernel Estimation of Densities with Discontinuities or Discontinuous Derivatives
- Linearity testing using local polynomial approximation
- Martingale Central Limit Theorems
- Maximum likelihood estimation and model selection for locally stationary processes∗
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Neglecting parameter changes in GARCH models
- Normalized least-squares estimation in time-varying ARCH models
- On some nonstationary, nonlinear random processes and their stationary approximations
- On stationarity and ergodicity of the bilinear model with applications to GARCH models
- On the Kullback-Leibler information divergence of locally stationary processes
- Optimal changepoint tests for normal linear regression
- Profile likelihood inferences on semiparametric varying-coefficient partially linear models
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Statistical inference for time-varying ARCH processes
- Strict stationarity of generalized autoregressive processes
- Testing for smooth structural changes in time series models via nonparametric regression
- Trending time-varying coefficient time series models with serially correlated errors
Cited in
(25)- Detecting structural breaks in realized volatility
- Real time detection of structural breaks in GARCH models
- Testing for parameter change epochs in GARCH time series
- Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- scientific article; zbMATH DE number 5002302 (Why is no real title available?)
- Changes of structure in financial time series and the GARCH model
- A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network
- Robust tests for changing volatility
- Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Testing for smooth structural changes in time series models via nonparametric regression
- Bayesian inference of multiple structural change models with asymmetric GARCH errors
- A practical multivariate approach to testing volatility spillover
- Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises
- On change-point detection in volatile series using GARCH models
- A test for time-varying smooth transition conditional covariance models in multivariate time series
- Parameter changes in GARCH model
- A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference
- Monitoring distributional changes of squared residuals in GARCH models
- Estimating and testing for smooth structural changes in moment condition models
- Detecting parameter shift in garch models
- Loss function-based change point detection in risk measures
- On the sieve M-estimation for a special bilinear time series model with time-functional variance noises
- Powerful tests for structural changes in volatility
This page was built for publication: Detecting for smooth structural changes in GARCH models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5741626)
