type="main" xml:id="jtsa12098-abs-0001"Many empirical findings show that volatility in financial time series exhibits high persistence. Some researchers argue that such persistency is due to volatility shifts in the market, while others believe that this is a natural fluctuation explained by...

In this paper, we consider the problem of testing for a parameter change in a first-order random coefficient integer-valued autoregressive [RCINAR(1)] model. We employ the cumulative sum (CUSUM) test based on the conditional least-squares and modified quasi-likelihood estimators. It is shown...