Monitoring distributional changes of squared residuals in GARCH models
From MaRDI portal
Recommendations
- A residual test for parameter change in GARCH models
- Monitoring distributional changes in autoregressive models based on a weighted empirical process of residuals
- Monitoring Distributional Changes in Autoregressive Models
- Asymptotics for GARCH squared residual correlations
- Limit results for the empirical process of squared residuals in GARCH models.
- A residual-based test for multivariate GARCH models using transformed quadratic residuals
- Detecting for smooth structural changes in GARCH models
- Distributional analysis of empirical volatility in GARCH processes
- A multivariate heavy-tailed distribution for ARCH/GARCH residuals
Cites work
- U-Statistics in Sequential Tests and Change Detection
- Change point analysis based on empirical characteristic functions
- Change-Point Analysis Based on Empirical Characteristic Functions of Ranks
- Change-point estimation in ARCH models
- Detection of change point in nonparametric function with unit-root noise by wavelet
- Empirical Bayes detection of a change in distribution
- Empirical process of the squared residuals of an ARCH sequence
- GARCH processes: structure and estimation
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Monitoring changes in the error distribution of autoregressive models based on Fourier methods
- Monitoring disruptions in financial markets
- Monitoring Distributional Changes in Autoregressive Models
- Monitoring parameter change in time series models
- Monitoring variance change in infinite order moving average processes and nonstationary autoregressive processes
- On the asymptotic accuracy of Efron's bootstrap
- On the detection of changes in autoregressive time series. I: Asymptotics.
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Stationarity of GARCH processes and of some nonnegative time series
- Testing for distributional change in time series
- The change-point problem for dependent observations
- The Cusum Test for Parameter Change in Time Series Models
Cited in
(4)- Monitoring parameter change for time series models with conditional heteroscedasticity
- Sequential change-point detection in a multinomial logistic regression model
- Monitoring distributional changes in autoregressive models based on a weighted empirical process of residuals
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
This page was built for publication: Monitoring distributional changes of squared residuals in GARCH models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2980065)
