Detection of structural breaks in a time-varying heteroskedastic regression model
DOI10.1016/J.JSPI.2011.05.014zbMATH Open1221.62120OpenAlexW1986236078MaRDI QIDQ2276169FDOQ2276169
Authors: Cathy W. S. Chen, Feng-Chi Liu, Richard Gerlach 
Publication date: 1 August 2011
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2011.05.014
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model selectionheteroskedasticityMCMCstructural breakdeviance information criterion (DIC)model instability
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Bayesian Measures of Model Complexity and Fit
- Markov chains for exploring posterior distributions. (With discussion)
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Partial non-Gaussian state space
- Hierarchical Bayesian Analysis of Changepoint Problems
- Estimating the number of change-points via Schwarz' criterion
- Estimation and comparison of multiple change-point models
- Testing for structural change in conditional models
- Marginal Likelihood from the Gibbs Output
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Estimating and Testing Linear Models with Multiple Structural Changes
- Title not available (Why is that?)
- Monte Carlo sampling methods using Markov chains and their applications
- Marginal Likelihood From the Metropolis–Hastings Output
- Equation of state calculations by fast computing machines
- Bayesian model selection for heteroskedastic models
- Forecasting Time Series Subject to Multiple Structural Breaks
- A comparison of estimators for regression models with change points
- Predicting the equity premium with dividend ratios
- Analysis of multifactor affine yield curve models
- Falling and explosive, dormant, and rising markets via multi-regime financial time series models
- Asymmetric response and interaction of U.S. and local news in financial markets
Cited In (13)
- Bayesian multiple structural change-points estimation in time series models with genetic algorithm
- Real time detection of structural breaks in GARCH models
- Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
- Bayesian estimation for threshold autoregressive model with multiple structural breaks
- Generalized Poisson autoregressive models for time series of counts
- On hysteretic vector autoregressive model with applications
- Detection of structural breaks in linear dynamic panel data models
- Bayesian inference of multiple structural change models with asymmetric GARCH errors
- On double hysteretic heteroskedastic model
- Detection of Multiple Structural Breaks in Multivariate Time Series
- Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification
- Title not available (Why is that?)
- Break detection in the covariance structure of multivariate time series models
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