Monitoring parameter change for time series models with conditional heteroscedasticity

DOI10.1016/J.ECONLET.2017.01.003MaRDI QIDQ1672861zbMATH OpenOpenAlexFDO

Authors Jaewon Huh, Haejune Oh, Sangyeol Lee

Publication date 11 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2017.01.003

zbMATH Keywords

GARCH-type modelsAGARCH modelsCUSUM method based on score functionsmonitoring a parameter change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• CONTINUOUS INSPECTION SCHEMES
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Monitoring parameter change in AR\((p)\) time series models
• Monitoring parameter shift with Poisson integer-valued GARCH models
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Sequential Change-Point Detection and Estimation

Cited in

(9)

• Monitoring parameter change in time series models
• Monitoring parameter change for time series models with application to location-Scale heteroscedastic models
• Sequential Monitoring for Changes in Models with a Polynomial Trend
• Monitoring test for stability of copula parameter in time series
• scientific article; zbMATH DE number 5071096 (Why is no real title available?)
• Monitoring procedure for parameter change in causal time series
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
• Sequential change-point detection in time series models with conditional heteroscedasticity
• Parameter changes in GARCH model

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