Copula parameter change test for nonlinear AR models with nonlinear GARCH errors

DOI10.1016/j.stamet.2014.12.001zbMath1487.62109OpenAlexW1963691858MaRDI QIDQ1731361

Byungsoo Kim, Sangyeol Lee

Publication date: 13 March 2019

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2014.12.001

zbMATH Keywords

copulachange point testCUSUM testnonlinear AR models with nonlinear GARCH errorsSTAR-STGARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Some applications of the strong approximation of the integrated empirical copula processes

Cites Work

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