Real time detection of structural breaks in GARCH models
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Publication:2445715
DOI10.1016/j.csda.2009.09.038zbMath1284.91587OpenAlexW1988500399MaRDI QIDQ2445715
Publication date: 14 April 2014
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-31.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)
Related Items (13)
Modelling breaks and clusters in the steady states of macroeconomic variables ⋮ Asymmetric Volatility Models with Structural Breaks ⋮ Modeling covariance breakdowns in multivariate GARCH ⋮ Empirical analysis of structural change in credit default swap volatility ⋮ Efficient Gibbs sampling for Markov switching GARCH models ⋮ Long memory and nonlinearities in realized volatility: a Markov switching approach ⋮ Bayesian Nonparametric Panel Markov-Switching GARCH Models ⋮ Modeling time-varying parameters using artificial neural networks: a GARCH illustration ⋮ Bayesian non-parametric mixtures of GARCH(1,1) models ⋮ Real time detection of structural breaks in GARCH models ⋮ Theory and inference for a Markov switching GARCH model ⋮ Marginal likelihood for Markov-switching and change-point GARCH models ⋮ A Kalman particle filter for online parameter estimation with applications to affine models
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