Monitoring parameter change for time series models with conditional heteroscedasticity
Year of publication: |
March 2017
|
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Authors: | Huh, Jaewon ; Oh, Haejune ; Lee, Sangyeol |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 152.2017, p. 66-70
|
Subject: | GARCH-type models | AGARCH models | Monitoring a parameter change | CUSUM method based on score functions | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity |
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