Change point detection in copula ARMA-GARCH models

DOI10.1111/J.1467-9892.2011.00763.XzbMATH Open1281.62182OpenAlexW1673571870MaRDI QIDQ5397933FDOQ5397933

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

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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)

Cites Work

• Maximum Likelihood Estimation of Misspecified Models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
• Asymptotic Normality of Nonparametric Tests for Independence
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• On residual empirical processes of stochastic regression models with applications to time series
• The Cusum Test for Parameter Change in Time Series Models
• Test for parameter change in ARMA models with GARCH innovations
• High moment partial sum processes of residuals in GARCH models and their applications
• Testing for parameter constancy in GARCH\((p,q)\) models
• Change analysis of a dynamic copula for measuring dependence in multivariate financial data
• Title not available (Why is that?)
• On residual empirical processes of GARCH-SM models: application to conditional symmetry tests

Cited In (18)

• Parameter change tests for ARMA-GARCH models
• 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
• On change point test for ARMA-GARCH models: bootstrap approach
• Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
• Parameter change test for autoregressive conditional duration models
• Recent progress in parameter change test for integer-valued time series models
• Change-point estimation in ARCH models
• A nonparametric test for a constant correlation matrix
• Multivariate Kendall's tau for change-point detection in copulas
• Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points
• Change point detection in SCOMDY models
• Monitoring test for stability of copula parameter in time series
• On change-point detection in volatile series using GARCH models
• Change Point Detection with Stable AR(1) Errors
• Title not available (Why is that?)
• Change-point problems for multivariate time series using pseudo-observations
• Some applications of the strong approximation of the integrated empirical copula processes

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