Structural Break Detection in Autoregressional Conditional Heteroskedasticity Model: Case of Student’s Distribution
Author:
Publisher
Pleiades Publishing Ltd
Subject
Computational Mathematics,Modeling and Simulation
Link
https://link.springer.com/content/pdf/10.1134/S2070048223040026.pdf
Reference14 articles.
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2. P. Kokoszka and R. Leipus, “Testing for parameter changes in ARCH models,” Lith. Math. J. 39 (2), 182–195 (1999). https://doi.org/10.1007/BF02469283
3. T. Bollerslev, “A conditionally heteroskedastic time series model for speculative prices and rates of return,” Rev. Econ. Stat. 69 (3), 542–547 (1987). https://doi.org/10.2307/1925546
4. R. A. Davis, T. C. M Lee, and G. A. Rodriguez-Yam, “Break detection for a class of nonlinear time series models,” J. Time Ser. Anal. 29 (5), 834–867 (2008). https://doi.org/10.1111/j.1467-9892.2008.00585.x
5. K. Fukuda, “Parameter changes in GARCH model,” J. Appl. Stat. 37 (7), 1123–1135 (2010). https://doi.org/10.1080/02664760902914524
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