Quasi-maximum likelihood estimation for multiple volatility shifts
DOI10.1016/J.SPL.2013.12.007zbMATH Open1332.62330OpenAlexW2032380027MaRDI QIDQ2452776FDOQ2452776
Authors: Moosup Kim, Taewook Lee, Jungsik Noh, Changryong Baek 
Publication date: 5 June 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2013.12.007
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Cites Work
- Estimating the number of change-points via Schwarz' criterion
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Least-squares estimation of an unknown number of shifts in a time series
- Structural breaks in time series
- Title not available (Why is that?)
- Estimating and Testing Linear Models with Multiple Structural Changes
- Long memory and regime switching
- Modelling the persistence of conditional variances
- Change-point estimation in ARCH models
- Neglecting parameter changes in GARCH models
- Title not available (Why is that?)
- Break detection for a class of nonlinear time series models
- A critical look at Lo's modified \(R/S\) statistic.
Cited In (1)
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