Testing Shifts in Financial Models with Conditional Heteroskedasticity: An Empirical Distribution Function Approach
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- Herwartz, Helmut & Reimers, Hans-Eggert, 2001. "Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications," SFB 373 Discussion Papers 2001,83, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- LÃ¼tkepohl,Helmut & KrÃ¤tzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, May.
- Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004.
- Lundbergh, Stefan & Terasvirta, Timo, 2002.
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- Stefan Lundbergh & Timo Teräsvirta, 1999. "Evaluating GARCH Models," Tinbergen Institute Discussion Papers 99-008/4, Tinbergen Institute.
- Daniel Smith, 2008. "Testing for structural breaks in GARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 18(10), pages 845-862.
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More about this item
Keywordschange point; empirical distribution function; sequential empirical process; weak convergence; two-parameter brownian bridge;
- 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
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