A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model (Q2344884)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model |
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A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model (English)
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18 May 2015
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HAR model
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long-memory
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parameter constancy
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realized volatility
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structural break
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