Nonparametric estimation of structural change points in volatility models for time series-Reference-Cited by-同舟云学术

Nonparametric estimation of structural change points in volatility models for time series

Published:2005-05 Issue:1 Volume:126 Page:79-114
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Chen Gongmeng,Choi Yoon K.,Zhou Yong

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference39 articles.

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5. Vector autoregressive models with structural changes in regression coefficients and in variance-covariance matrices;Bai;Annals of Economics and Finance,2000

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