Detecting level shifts in the presence of conditional heteroscedasticity
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- M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Detecting Level Shifts In The Presence Of Conditional Heteroscedasticity," Working Papers. Serie AD 2004-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
References listed on IDEAS
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- Carnero, María Ángeles & Peña, Daniel & Ruiz, Esther, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
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Cited by:
- Galeano, Pedro, 2004. "Use of cumulative sums for detection of changepoints in the rate parameter of a poisson process," DES - Working Papers. Statistics and Econometrics. WS ws046816, Universidad Carlos III de Madrid. Departamento de Estadística.
- Galeano, Pedro & Peña, Daniel & Tsay, Ruey S., 2004. "Outlier detection in multivariate time series via projection pursuit," DES - Working Papers. Statistics and Econometrics. WS ws044211, Universidad Carlos III de Madrid. Departamento de Estadística.
- Galeano, Pedro, 2007. "The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson Process," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6151-6165, August.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2003-11-16 (All new papers)
- NEP-ECM-2003-11-16 (Econometrics)
- NEP-IFN-2003-11-16 (International Finance)
- NEP-RMG-2003-11-16 (Risk Management)
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