Testing for parameter changes in ARCH models

DOI10.1007/BF02469283zbMath0972.62012MaRDI QIDQ1568067

Remigijus Leipus, Piotr S. Kokoszka

Publication date: 19 November 2001

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

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)

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Cites Work

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• Testing and estimating in the change-point problem of the spectral function
• Autoregressive conditional heteroskedasticity and changes in regime
• Testing for parameter changes in ARCH models
• The change-point problem for dependent observations
• Detecting parameter shift in garch models
• Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

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