Change point detection in copula ARMA-GARCH models

DOI10.1111/J.1467-9892.2011.00763.XMaRDI QIDQ5397933zbMATH OpenOpenAlexFDO

Authors Okyoung Na, Jiyeon Lee, Sangyeol Lee

Publication date 25 February 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2011.00763.x

zbMATH Keywords

change point testpseudo maximum likelihood estimatorcusum testcopula ARMA-GARCH model

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic approximation (62L20) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

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• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• Asymptotic Normality of Nonparametric Tests for Independence
• Change analysis of a dynamic copula for measuring dependence in multivariate financial data
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• High moment partial sum processes of residuals in GARCH models and their applications
• Maximum Likelihood Estimation of Misspecified Models
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• On residual empirical processes of GARCH-SM models: application to conditional symmetry tests
• On residual empirical processes of stochastic regression models with applications to time series
• Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
• Test for parameter change in ARMA models with GARCH innovations
• Testing for parameter constancy in GARCH\((p,q)\) models
• The Cusum Test for Parameter Change in Time Series Models

Cited in

(18)

• Parameter change test for autoregressive conditional duration models
• Change Point Detection with Stable AR(1) Errors
• Change-point estimation in ARCH models
• scientific article; zbMATH DE number 5811921 (Why is no real title available?)
• A semiparametric maximum likelihood ratio test for the change point in copula models
• CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns
• Multivariate Kendall's tau for change-point detection in copulas
• Change-point problems for multivariate time series using pseudo-observations
• Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
• Recent progress in parameter change test for integer-valued time series models
• On change point test for ARMA-GARCH models: bootstrap approach
• Some applications of the strong approximation of the integrated empirical copula processes
• A nonparametric test for a constant correlation matrix
• Monitoring test for stability of copula parameter in time series
• Parameter change tests for ARMA-GARCH models
• Change point detection in SCOMDY models
• On change-point detection in volatile series using GARCH models
• Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points

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