Sequential change-point detection in time series models with conditional heteroscedasticity

DOI10.1016/J.ECONLET.2024.111597WikidataQ128408841 ScholiaQ128408841MaRDI QIDQ6498751FDOQ6498751

Authors: Youngmi Lee, Sungdon Kim, Haejune Oh 

Publication date: 7 May 2024

Published in: Economics Letters (Search for Journal in Brave)

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zbMATH Keywords

sequential detectionasymmetric GARCHconditionally heteroscedastic time seriesGARCH-type modelsparameter change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Monitoring Structural Change
• Monitoring changes in linear models
• Monitoring parameter change in time series models
• Sequential change point detection in ARMA-GARCH models
• On score vector- and residual-based CUSUM tests in ARMA-GARCH models

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