A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model

DOI10.1016/j.spl.2015.01.013zbMath1396.62029OpenAlexW3123729495MaRDI QIDQ2344884

Dong Wan Shin, Eun-Ju Hwang

Publication date: 18 May 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.01.013

zbMATH Keywords

structural breakrealized volatilitylong-memoryHAR modelparameter constancy

Mathematics Subject Classification ID

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

Related Items (5)

Forecasting realized volatility: a review ⋮ Tests for structural breaks in memory parameters of long-memory heterogeneous autoregressive models ⋮ Detecting structural breaks in realized volatility ⋮ A CUSUM test for panel mean change detection ⋮ An integrated heteroscedastic autoregressive model for forecasting realized volatilities

Cites Work

• Modelling and forecasting noisy realized volatility
• The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model
• The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
• On studentizing a test for structural change
• Structural breaks and fractional integration in the US output and unemployment rate.
• Infinite-order, long-memory heterogeneous autoregressive models
• The CUSUM of squares test for the stability of regression models with non-stationary regressors
• A CUSUM test for a long memory heterogeneous autoregressive model
• THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS
• Estimating and Testing Structural Changes in Multivariate Regressions

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