Monitoring parameter change for time series models with conditional heteroscedasticity

DOI10.1016/j.econlet.2017.01.003zbMath1396.62208OpenAlexW2569292420MaRDI QIDQ1672861

Sangyeol Lee, Jaewon Huh, Haejune Oh

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

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

Related Items (1)

Monitoring parameter change for time series models with application to location-Scale heteroscedastic models

Cites Work

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

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