Testing and estimation for multiple change-point in ARCH models

MaRDI QIDQ5436029zbMATH OpenFDO

Authors Sier Han, Zheng Tian

Publication date 14 January 2008

zbMATH Keywords

ARCH modelBrownian bridgemultiple change points test

Mathematics Subject Classification ID

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

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• Change-point estimation in ARCH models
• On change point test for ARMA-GARCH models: bootstrap approach
• Randomised pseudolikelihood ratio change point estimator in GARCH models
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• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
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• Multiple change points detection of GARCH(1,1) model with SupF method
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• Analysis of multiple model method for change detection of AR processes

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