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SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS

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  • Berkes, Istv n
  • Gombay, Edit
  • Horv th, Lajos
  • Kokoszka, Piotr
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 20 (2004)
    Issue (Month): 06 (December)
    Pages: 1140-1167

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    Handle: RePEc:cup:etheor:v:20:y:2004:i:06:p:1140-1167_20

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    Cited by:
    1. Xu, Ke-Li, 2013. "Powerful tests for structural changes in volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 173(1), pages 126-142.
    2. Zhou, Yong & Wan, Alan T.K. & Xie, Shangyu & Wang, Xiaojing, 2010. "Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance," Journal of Econometrics, Elsevier, Elsevier, vol. 159(1), pages 183-201, November.
    3. Błażej Mazur & Mateusz Pipień, 2012. "On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process," Central European Journal of Economic Modelling and Econometrics, CEJEME, CEJEME, vol. 4(2), pages 95-116, June.
    4. Bardet, Jean-Marc & Kengne, William, 2014. "Monitoring procedure for parameter change in causal time series," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 204-221.
    5. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, Elsevier, vol. 135(1-2), pages 77-124.
    6. Mihaela Craioveanu & Eric Hillebrand, 2012. "Level changes in volatility models," Annals of Finance, Springer, Springer, vol. 8(2), pages 277-308, May.
    7. Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," CREATES Research Papers 2011-01, School of Economics and Management, University of Aarhus.
    8. Isakov , Alexander, 2013. "Stress indicator construction for internal money market," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 30(2), pages 77-92.
    9. Okyoung Na & Youngmi Lee & Sangyeol Lee, 2011. "Monitoring parameter change in time series models," Statistical Methods and Applications, Springer, Springer, vol. 20(2), pages 171-199, June.
    10. Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, Elsevier, vol. 149(2), pages 174-190, April.
    11. Lee, Sangyeol & Park, Siyun, 2009. "The monitoring test for the stability of regression models with nonstationary regressors," Economics Letters, Elsevier, vol. 105(3), pages 250-252, December.
    12. Amado, Cristina & Teräsvirta, Timo, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," Working Paper Series in Economics and Finance 691, Stockholm School of Economics.
    13. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.

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