Detecting for smooth structural changes in GARCH models
Year of publication: |
June 2016
|
---|---|
Authors: | Chen, Bin ; Hong, Yongmiao |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 32.2016, 3, p. 740-791
|
Subject: | ARCH-Modell | ARCH model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | Strukturwandel | Structural change |
-
Modeling high frequency data with long memory and structural change : A-HYEGARCH model
Shi, Yanlin, (2018)
-
Power monotonicity in detecting volatility levels change
Xu, Ke-li, (2013)
-
Long memory and structural change in the G7 inflation dynamics
Belkhouja, Mustapha, (2016)
- More ...
-
Generalized spectral testing for multivariate continuous-time models
Chen, Bin, (2011)
-
Chen, Bin, (2014)
-
Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
Chen, Bin, (2012)
- More ...