Differentiating between coefficient break and volatility break

DOI10.1016/J.AMC.2005.09.049zbMATH Open1089.62105OpenAlexW1989440742MaRDI QIDQ2493771FDOQ2493771

Authors: Kosei Fukuda 

Publication date: 16 June 2006

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2005.09.049

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zbMATH Keywords

model selectionBayesian information criterionvolatility breakcoefficient break

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Estimating the dimension of a model
• A new look at the statistical model identification
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Estimating and Testing Linear Models with Multiple Structural Changes
• A procedure for the modeling of non-stationary time series

Cited In (1)

• Cointegration Detection Using Dynamic Factor Models

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