Differentiating between coefficient break and volatility break

DOI10.1016/J.AMC.2005.09.049MaRDI QIDQ2493771zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Bayesian information criterioncoefficient breakmodel selectionvolatility break

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(1)

• Cointegration Detection Using Dynamic Factor Models

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