Monitoring parameter change for time series models with application to location-Scale heteroscedastic models

Cites Work

Generalized autoregressive conditional heteroscedasticity
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
Regression Quantiles
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Title not available (Why is that?)
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
Parametric statistical change point analysis. With applications to genetics, medicine, and finance
Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
Title not available (Why is that?)
Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
A test for a change in a parameter occurring at an unknown point
Title not available (Why is that?)
Monitoring changes in linear models
Monitoring parameter change in AR\((p)\) time series models
Stationarity of GARCH processes and of some nonnegative time series
Title not available (Why is that?)
The Cusum Test for Parameter Change in Time Series Models
Monitoring parameter change in time series models
Estimating structural changes in regression quantiles
Superposition of Ornstein-Uhlenbeck type processes
Parameter Change Test for Poisson Autoregressive Models
Testing for parameter constancy in GARCH\((p,q)\) models
Testing for structural change in regression quantiles
ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
Quantile regression estimator for GARCH models
Change detection in autoregressive time series
Interventions in INGARCH processes
Interventions in log-linear Poisson autoregression
Retrospective change detection for binary time series models
Structural changes in autoregressive models for binary time series
Changepoints in times series of counts
On the Cusum test for parameter changes in garch(1,1) Models
The Cusum Test for Parameter Change in Regression Models with ARCH Errors
Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
Testing for parameter stability in quantile regression models
Tests for structural changes in time series of counts
Sequential change point detection in linear quantile regression models
Real time change-point detection in a nonlinear quantile model
Monitoring parameter change for time series models with conditional heteroscedasticity
CUSUM test for general nonlinear integer-valued GARCH models: comparison study
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
Modified residual CUSUM test for location-scale time series models with heteroscedasticity
Test for conditional quantile change in GARCH models
Quantile regression for location-scale time series models with conditional heteroscedasticity
Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model

Cited In (2)

Monitoring parameter change for bivariate time series models of counts
Title not available (Why is that?)

Uses Software

CAViaR

This page was built for publication: Monitoring parameter change for time series models with application to location-Scale heteroscedastic models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5879914)