Changes of structure in financial time series and the GARCH model
change pointfunctional central limit theoremnon-stationarityspectral distributionBrownian bridgeintegrated periodogramGARCH processlong range dependenceIGARCHsample autocorrelationKiefer-Müller process
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)
- Fractionally integrated time varying GARCH model
- Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
- Tests for volatility shifts in GARCH against long-range dependence
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Detecting for smooth structural changes in GARCH models
- Estimation and prediction of time-varying GARCH models through a state-space representation: a computational 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
- Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals
- Test for tail index constancy of GARCH innovations based on conditional volatility
- 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
- Locally stationary long memory estimation
- Strategic long-term financial risks: single risk factors
- Statistical tests for a single change in mean against long-range dependence
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