Stochastic change-point ARX-GARCH models and their applications to econometric time series

DOI10.5705/SS.2012.224SzbMATH Open1417.62250OpenAlexW2138898429MaRDI QIDQ2864544FDOQ2864544

Haipeng Xing, Tze Leung Lai

Publication date: 25 November 2013

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3e61396916c87d53a22b1ace6e7fbfaf4de30e55

Recommendations

• Structural change as an alternative to long memory in financial time series
• Dynamic detection of change points in long time series
• Bayesian non-parametric mixtures of GARCH(1,1) models
• On the origin of high persistence in GARCH-models
• scientific article; zbMATH DE number 2199133

zbMATH Keywords

empirical Bayeslong memorysegmentationmultiple change-pointsARX-GARCH modelsrecursive adaptive filters

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: estimation (62M09) Empirical decision procedures; empirical Bayes procedures (62C12)

Cited In (7)

• Title not available (Why is that?)
• Uncertainty Quantification in Dynamic Image Reconstruction with Applications to Cryo-EM
• Dynamic detection of change points in long time series
• Bayesian inference of multiple structural change models with asymmetric GARCH errors
• Inference for conditional value-at-risk of a predictive regression
• On change-point detection in volatile series using GARCH models
• Discussion on “Change-Points: From Sequential Detection to Biology and Back” by David Siegmund

This page was built for publication: Stochastic change-point ARX-GARCH models and their applications to econometric time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2864544)