Parameter changes in GARCH model
From MaRDI portal
Publication:5123601
DOI10.1080/02664760902914524OpenAlexW2041179690MaRDI QIDQ5123601
Publication date: 29 September 2020
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664760902914524
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Estimating the number of change-points via Schwarz' criterion
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Estimating the dimension of a model
- Autoregressive conditional heteroskedasticity and changes in regime
- Change-point estimation in ARCH models
- Generalized autoregressive conditional heteroscedasticity
- Evaluating GARCH models.
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model
- ARCH models as diffusion approximations
- Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
- Estimating and Testing Linear Models with Multiple Structural Changes
- Detecting parameter shift in garch models
This page was built for publication: Parameter changes in GARCH model