On change point test for ARMA-GARCH models: bootstrap approach

DOI10.1016/j.jkss.2017.11.001zbMath1390.62181OpenAlexW2772975209MaRDI QIDQ1747092

Sangyeol Lee, Haejune Oh

Publication date: 3 May 2018

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2017.11.001

zbMATH Keywords

bootstrap methodwild bootstrapCUSUM testparameter change testARMA-GARCH modelsresidual bootstrap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Uses Software

• bootstrap

Cites Work

• Parameter change test for autoregressive conditional duration models
• Test for parameter change in ARMA models with GARCH innovations
• Bootstrap methods: another look at the jackknife
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Testing for parameter constancy in GARCH\((p,q)\) models
• On the detection of changes in autoregressive time series. II: Resampling procedures
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• The Cusum Test for Parameter Change in Time Series Models
• Bootstrap test for change-points in nonparametric regression
• PARAMETER CHANGE TEST FOR NONLINEAR TIME SERIES MODELS WITH GARCH TYPE ERRORS
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