SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS

DOI10.1017/S0266466604206041zbMath1069.62058OpenAlexW2110769522MaRDI QIDQ5314884

Lajos Horváth, Edit Gombay, István Berkes, Piotr S. Kokoszka

Publication date: 5 September 2005

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466604206041

zbMATH Keywords

simulations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

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Cites Work

• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity of generalized autoregressive processes
• Testing for parameter changes in ARCH models
• Change-point estimation in ARCH models
• Empirical process of the squared residuals of an ARCH sequence
• Evaluating GARCH models.
• The efficiency of the estimators of the parameters in GARCH processes.
• Limit results for the empirical process of squared residuals in GARCH models.
• TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES
• A Martingale Inequality and the Law of Large Numbers
• Testing for the Constancy of Parameters Over Time
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Sequential Change-Point Detection and Estimation
• On the Cusum test for parameter changes in garch(1,1) Models
• The weighted sequential likelihood ratio
• Detecting parameter shift in garch models
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Monitoring Structural Change
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework