Real time detection of structural breaks in GARCH models
From MaRDI portal
Publication:2445715
DOI10.1016/j.csda.2009.09.038zbMath1284.91587MaRDI QIDQ2445715
Publication date: 14 April 2014
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-31.pdf
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91B84: Economic time series analysis
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