Метод обнаружения структурного сдвига в модели авторегрессионной условной гетероскедастичности: случай распределения Стьюдента

DOI10.20948/MM-2023-01-04OpenAlexW4313248288MaRDI QIDQ5059866

Dmitriy A. Borzykh, A. A. Yazykov

Publication date: 17 January 2023

Published in: Математическое моделирование (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/mm4433

zbMATH Keywords

ICSSCUSUMchange pointsvolatilitystructural breakst-distributionstudent distributionstructural shiftsGARCH-t

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Testing for parameter changes in ARCH models
• Change-point estimation in ARCH models
• The SLEX model of a non-stationary random process
• Break Detection for a Class of Nonlinear Time Series Models
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• On the Cusum test for parameter changes in garch(1,1) Models
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• Parameter changes in GARCH model
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS

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