A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test

DOI10.1080/00949655.2020.1711519MaRDI QIDQ5107751OpenAlexWikidataFDO

Authors Davide De Gaetano

Publication date 28 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2020.1711519

zbMATH Keywords

structural breaksbias correctionCUSUM of squares test

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
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• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Automatic Block-Length Selection for the Dependent Bootstrap
• Automatic Lag Selection in Covariance Matrix Estimation
• Change-point estimation in ARCH models
• Forecasting volatility using combination across estimation windows: an application to S\&P500 stock market index
• Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows
• Generalized autoregressive conditional heteroscedasticity
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Multivariate Stochastic Variance Models
• ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
• Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
• The Stationary Bootstrap
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

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