Test for conditional quantile change in GARCH models

DOI10.1007/s42952-021-00149-xOpenAlexW3207751029MaRDI QIDQ2151594

Sangyeol Lee, Chang Kyeom Kim

Publication date: 5 July 2022

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42952-021-00149-x

zbMATH Keywords

quantile regressionGARCH modelschange point detectionresidual CUSUM test

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Monitoring parameter change for time series models with application to location-Scale heteroscedastic models ⋮ Conditional quantile change test for time series based on support vector regression ⋮ Test for conditional quantile change in general conditional heteroscedastic time series models

Uses Software

• CAViaR

Cites Work

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