Monitoring parameter change for time series models with conditional heteroscedasticity
Author:
Funder
National Research Foundation of Korea (NRF)
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference7 articles.
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2. Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes;Francq;Bernoulli,2004
3. Sequential change-point detection and estimation;Gombay;Sequential Anal.,2003
4. Monitoring parameter change in time series models;Gombay;J. Multivariate Anal.,2009
5. Monitoring parameter shift with poisson integer-valued GARCH models;Huh;J. Statist. Comp. Sim.,2017
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2. Monitoring parameter change for time series models with application to location-Scale heteroscedastic models;Journal of Statistical Computation and Simulation;2022-06-22
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