On change-point detection in volatile series using GARCH models (Q2408327)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6790201
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On change-point detection in volatile series using GARCH models |
scientific article; zbMATH DE number 6790201 |
Statements
On change-point detection in volatile series using GARCH models (English)
0 references
12 October 2017
0 references
GARCH model
0 references
change-point
0 references
squared CUSUM test
0 references
Brownian bridge
0 references
weak convergence
0 references
0.9173063
0 references
0.9105031
0 references
0 references
0.8839114
0 references
0.8831271
0 references
0.88171196
0 references
0.87946326
0 references
