Changes of structure in financial time series and the GARCH model

zbMATH Open1132.62352MaRDI QIDQ3433265FDOQ3433265

Authors: T. Mikosch, Cătălin Stărică 

Publication date: 27 April 2007

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zbMATH Keywords

change pointfunctional central limit theoremnon-stationarityspectral distributionBrownian bridgeintegrated periodogramGARCH processlong range dependenceIGARCHsample autocorrelationKiefer-Müller process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Functional limit theorems; invariance principles (60F17)

Cited In (20)

• Fractionally integrated time varying GARCH model
• Tests for volatility shifts in GARCH against long-range dependence
• Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
• Detecting for smooth structural changes in GARCH models
• Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• A new fluctuation test for constant variances with applications to finance
• Long memory and regime switching in the stochastic volatility modelling
• Breaks and persistency: macroeconomic causes of stock market volatility
• Test for tail index constancy of GARCH innovations based on conditional volatility
• Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals
• Structural change as an alternative to long memory in financial time series
• On a nonparametric change point detection model in Markovian regimes
• Real time estimation of stochastic volatility processes
• Time-varying asymmetry and tail thickness in long series of daily financial returns
• Testing for a change in mean under fractional integration
• On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
• Strategic long-term financial risks: single risk factors
• Locally stationary long memory estimation
• Statistical tests for a single change in mean against long-range dependence

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