On score vector- and residual-based CUSUM tests in ARMA-GARCH models
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Cites work
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- GARCH models. Structure, statistical inference and financial applications
- scientific article; zbMATH DE number 1157181 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- On the Cusum test for parameter changes in garch(1,1) Models
- On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
- Parameter change test for nonlinear time series models with GARCH type errors
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Test for parameter change in ARMA models with GARCH innovations
- Testing for parameter constancy in GARCH(p,q) models
- The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
- The Cusum Test for Parameter Change in Regression Models with ARCH Errors
- The Cusum Test for Parameter Change in Time Series Models
Cited in
(21)- Parameter change tests for ARMA-GARCH models
- A residual-based test for multivariate GARCH models using transformed quadratic residuals
- On CUSUM test for dynamic panel models
- The CUSUM statistic of change point under NA sequences
- Recent progress in parameter change test for integer-valued time series models
- Test for conditional quantile change in GARCH models
- CUSUM test for general nonlinear integer-valued GARCH models: comparison study
- Modified residual CUSUM test for location-scale time series models with heteroscedasticity
- Residual-based rank specification tests for AR-GARCH type models
- scientific article; zbMATH DE number 5811361 (Why is no real title available?)
- Location and scale-based CUSUM test with application to autoregressive models
- The asymptotic distribution of CUSUM estimator based on α-mixing sequences
- Sequential change point detection in ARMA-GARCH models
- Change point detection in copula ARMA-GARCH models
- Test for conditional quantile change in general conditional heteroscedastic time series models
- Sequential change-point detection in time series models with conditional heteroscedasticity
- Parameter change test for location-scale time series models with heteroscedasticity based on bootstrap
- On joint testing of changes in conditional mean and variance functions of stationary and ergodic time series
- M-procedures robust to structural changes detection under strong mixing heavy-tailed time series models
- Tests for changes in count time series models with exogenous covariates
- Tests for a structural break for nonnegative integer-valued time series
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