Test for parameter change in ARMA models with GARCH innovations
type: Item
instance of: scholarly article
title: Test for parameter change in ARMA models with GARCH innovations
zbMATH Open document ID: 1147.62074
author: Sangyeol Lee
author: Junmo Song
published in: Statistics \& Probability Letters
publication date: 2008-09-29T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 62M07
Mathematics Subject Classification ID: 62M15
zbMATH DE Number: 5348314
MaRDI profile type: Publication
full work available at URL: j.spl.2008.01.068
OpenAlex ID: W1984746506
cites work: Testing for parameter constancy in GARCH\((p,q)\) models
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cites work: Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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cites work: The Cusum Test for Parameter Change in Time Series Models
cites work: On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
cites work: Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
cites work: Testing for change points in time series models and limiting theorems for NED sequences
cites work: Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
cites work: ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
cites work: Testing and estimating change-points in time series
DOI: 10.1016/J.SPL.2008.01.068
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description: scientific article; zbMATH DE number 5348314