A CUSUM test for a long memory heterogeneous autoregressive model
Eunju Hwang; Dong Wan Shin
| Year of publication: |
2013
|
|---|---|
| Authors: | Hwang, Eunju ; Shin, Dong-wan |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 121.2013, 3, p. 379-383
|
| Subject: | HAR model | Parameter constancy | Realized volatility | Structural break | Volatilität | Volatility | Strukturbruch | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation | ARCH-Modell | ARCH model | Statistischer Test | Statistical test |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010392170