Strong approximation for the sums of squares of augmented GARCH sequences
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- Long-Term Memory in Stock Market Prices
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Cited in
(26)- Strong approximation for a class of stationary processes
- Testing for changes in polynomial regression
- Augmented GARCH sequences: Dependence structure and asymptotics
- Extreme value theory for stochastic integrals of Legendre polynomials
- Asymptotic results for the empirical process of stationary sequences
- Monitoring shifts in mean: asymptotic normality of stopping times
- Break detection in the covariance structure of multivariate time series models
- Parameter change tests for ARMA-GARCH models
- Stationarity and functional central limit theorem for ARCH(\(\infty\)) models
- Extreme value distribution of a recursive-type detector in linear model
- On the use of estimating functions in monitoring time series for change points
- Pointwise adaptive estimation of the marginal density of a weakly dependent process
- Extensions of some classical methods in change point analysis
- Structural breaks in time series
- Delay times of sequential procedures for multiple time series regression models
- On the Performance of the Fluctuation Test for Structural Change
- ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES
- Asymptotic distribution of the delay time in Page's sequential procedure
- Functional central limit theorems for augmented GARCH(p,q) and FIGARCH processes
- On the reaction time of moving sum detectors
- Asymptotics for semi-strong augmented GARCH(1,1) model
- Page's sequential procedure for change-point detection in time series regression
- Segmenting mean-nonstationary time series via trending regressions
- Split invariance principles for stationary processes
- Robust inference in AR-G/GARCH models under model uncertainty
- Finite moments testing in a general class of nonlinear time series models
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