Testing Shifts in Financial Models with Conditional Heteroskedasticity: An Empirical Distribution Function Approach
AbstractThis paper proposes a class of test procedures for a structural change with an unknown change point. In particular, we consider a general financial time series model with conditional heteroskedasticity. The test statistics are constructed via the empirical distribution approach and aim at detecting a change that may occur beyond the second moment. We derive the asymptotic null distributions of the test statistics and tabulate the critical values. Studies of the local power show that the test statistics have non-trivial local power. Finite sample performances of the proposed tests are studied via Monte Carlo methods. This test procedures are applied to test the change point in the S&P 500 daily index returns.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 30.
Date of creation: 01 Dec 1999
Date of revision:
Contact details of provider:
Postal: PO Box 123, Broadway, NSW 2007, Australia
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Web page: http://www.business.uts.edu.au/qfrc/index.html
More information through EDIRC
change point; empirical distribution function; sequential empirical process; weak convergence; two-parameter brownian bridge;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Lundbergh, Stefan & Teräsvirta, Timo, 1998.
"Evaluating GARCH models,"
Working Paper Series in Economics and Finance
292, Stockholm School of Economics, revised 03 May 1999.
- Yang, Jian, 2001. "Structural change tests under regression misspecifications," Economics Letters, Elsevier, vol. 70(3), pages 311-317, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford).
If references are entirely missing, you can add them using this form.