Stochastic change-point ARX-GARCH models and their applications to econometric time series
DOI10.5705/SS.2012.224SzbMATH Open1417.62250OpenAlexW2138898429MaRDI QIDQ2864544FDOQ2864544
Authors: Tze Leung Lai, Haipeng Xing 
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
empirical Bayeslong memorysegmentationmultiple change-pointsARX-GARCH modelsrecursive adaptive filters
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)
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- Sparse change-point HAR models for realized variance
- 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
- Variable dimension via stochastic volatility model using FX rates
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