Change-point detection in GARCH models: asymptotic and bootstrap tests
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More about this item
KeywordsGARCH model; change-point; likelihood ratio; parametric bootstrap; squared residuals; size-power curves; wavelets;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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