Testing for parameter changes in ARCH models

DOI10.1007/BF02469283MaRDI QIDQ1568067zbMATH OpenFDO

Authors Piotr Kokoszka, Remigijus Leipus

Publication date 19 November 2001

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02469283

zbMATH Keywords

local alternativesARCH modelchange-point testing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Cites work

• scientific article; zbMATH DE number 868175 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Autoregressive conditional heteroskedasticity and changes in regime
• Detecting parameter shift in garch models
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• Testing and estimating in the change-point problem of the spectral function
• Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
• Testing for parameter changes in ARCH models
• The change-point problem for dependent observations

Cited in

(31)

• Neglecting parameter changes in GARCH models
• Modified tests for change points in variance in the possible presence of mean breaks
• Testing for structural change of AR model to threshold AR model
• A test for parameter change in general causal time series using quasi-likelihood estimator
• Serial rank statistics for detection of changes.
• Testing for bubbles and change-points
• Estimating structural changes in regression quantiles
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• Monitoring disruptions in financial markets
• Change-point estimation in ARCH models
• Testing for parameter changes in ARCH models
• Detection of multiple change-points in multivariate time series
• On change point detection in regression function using nonparametric autoregressive processes
• Test for parameter change in ARMA models with GARCH innovations
• Coefficient constancy test in AR-ARCH models
• Guaranteed detection of an imbalance instant of the GARCH-process
• Specification test for a linear regression model with ARCH process
• scientific article; zbMATH DE number 5811361 (Why is no real title available?)
• Level changes in volatility models
• Testing for parameter constancy in general causal time-series models
• Change-point in the mean of dependent observations
• CUSUM-test for unconditional variance change detection in bilinear GARCH models
• Testing for parameter constancy in GARCH(p,q) models
• Monitoring procedure for parameter change in causal time series
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
• Specification testing in nonparametric AR‐ARCH models
• Modified residual CUSUM test for location-scale time series models with heteroscedasticity
• Метод обнаружения структурного сдвига в модели авторегрессионной условной гетероскедастичности: случай распределения Стьюдента
• Test for Parameter Change in ARIMA Models
• New penalty in information criteria for the ARCH sequence with structural changes
• Powerful tests for structural changes in volatility

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