scientific article; zbMATH DE number 5811921

MaRDI QIDQ3052233zbMATH OpenFDO

Authors Wenjie Yang, Yan-Ping Li, Xiaojun Sun

Publication date 5 November 2010

zbMATH Keywords

Brownian bridgeresidual distributions

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(8)

• On change point test for ARMA-GARCH models: bootstrap approach
• Randomised pseudolikelihood ratio change point estimator in GARCH models
• On change-point detection in volatile series using GARCH models
• A ratio test to detect change point in GARCH model
• scientific article; zbMATH DE number 1538079 (Why is no real title available?)
• Multiple change points detection of GARCH(1,1) model with SupF method
• Testing and estimation for multiple change-point in ARCH models
• Multiple-change-point detection for auto-regressive conditional heteroscedastic processes

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