Sequential change-point detection in time series models with conditional heteroscedasticity
Youngmi Lee, Sungdon Kim, Haejune Oh
| Year of publication: |
2024
|
|---|---|
| Authors: | Lee, Youngmi ; Kim, Sungdon ; Oh, Haejune |
| Subject: | Asymmetric GARCH | Conditionally heteroscedastic time series | GARCH-type models | Parameter change | Sequential detection | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Heteroskedastizität | Heteroscedasticity |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2024.111597 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015071897