Detecting for Smooth Structural Changes in GARCH Models
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More about this item
KeywordsGARCH; Local smoothing; Parameter constancy; QMLE; Smooth structural change;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- E0 - Macroeconomics and Monetary Economics - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-09 (All new papers)
- NEP-ETS-2014-05-09 (Econometric Time Series)
- NEP-MAC-2014-05-09 (Macroeconomics)
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