On change-point detection in volatile series using GARCH models

zbMath1373.62428MaRDI QIDQ2408327

Edoh Katchekpele, Kossi Essona Gneyou, Abdou Kâ Diongue

Publication date: 12 October 2017

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.as/1505354427

zbMATH Keywords

weak convergenceBrownian bridgechange-pointGARCH modelsquared CUSUM test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Sequential statistical analysis (62L10) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

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TESTING FOR A CHANGE OF THE INNOVATION DISTRIBUTION IN AN ARCH MODEL

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