Estimation Mean Change-Point in ARCH Models with Heavy-Tailed Innovations
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Publication:5305516
DOI10.1080/03610910903480776zbMath1182.62178OpenAlexW1936184523MaRDI QIDQ5305516
Hao Jin, Zheng Tian, Yun-Feng Yang
Publication date: 22 March 2010
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610910903480776
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)
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The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks ⋮ Subsampling tests for variance changes in the presence of autoregressive parameter shifts ⋮ Modified tests for variance changes in autoregressive regression ⋮ Structural Change Monitoring for Random Coefficient Autoregressive Time Series
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