Differentiating between coefficient break and volatility break
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Publication:2493771
DOI10.1016/j.amc.2005.09.049zbMath1089.62105MaRDI QIDQ2493771
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
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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Cites Work
- A procedure for the modeling of non-stationary time series
- Estimating the dimension of a model
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
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- A new look at the statistical model identification