A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
Year of publication: |
2015
|
---|---|
Authors: | Hwang, Eunju ; Shin, Dong Wan |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 99.2015, C, p. 167-176
|
Publisher: |
Elsevier |
Subject: | HAR model | Long-memory | Parameter constancy | Realized volatility | Structural break |
-
A CUSUM test for a long memory heterogeneous autoregressive model
Hwang, Eunju, (2013)
-
A CUSUM test for a long memory heterogeneous autoregressive model
Hwang, Eunju, (2013)
-
Value at risk forecasting for volatility index
Park, Seul-Ki, (2017)
- More ...
-
Shin, Dong-wan, (2015)
-
A bootstrap test for jumps in financial economics
Hwang, Eunju, (2014)
-
A CUSUM test for a long memory heterogeneous autoregressive model
Hwang, Eunju, (2013)
- More ...