This paper considers estimation of ARMA models with time-varying coefficients. The ARMA parameters belong to different regimes. The changes in regime occur at irregular time intervals. Consistency and asymptotic normality of least squares and quasi-generalized least squares estimators are shown

This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as...

Based on Godambe's theory of estimating functions, we propose a class of cumulative sum (CUSUM) statistics to detect breaks in the dynamics of time series under weak assumptions. First, we assume a parametric form for the conditional mean, but make no specific assumption about the...