Change { point detection in GARCH models : asymptotic and bootstrap testsPiotr

@inproceedings{KokoszkaMathematics2002ChangeP,
  title={Change \{ point detection in GARCH models : asymptotic and bootstrap testsPiotr},
  author={KokoszkaMathematics and StatisticsUtah State University Gilles Teyssi},
  year={2002}
}
  • KokoszkaMathematics, StatisticsUtah State University Gilles Teyssi
  • Published 2002
Two classes of tests designed to detect changes in volatility are proposed. Procedures based on squared model residuals and on the likelihood ratio are considered. The tests are applicable to parametric nonlinear models like GARCH. Both asymptotic and bootstrap tests are investigated by means of a simulation study and applied to returns data. The tests based on the likelihood ratio are shown to be generally preferable. A wavelet based estimator of long memory is applied to returns data to shed… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-10 of 47 references

Limit results for the empirical process of squared residuals in GARCH

  • L. ath
  • 2002
Highly Influential
12 Excerpts

Limit Theorems in Change-Point Analysis

  • L. ath
  • 1997
Highly Influential
7 Excerpts

Distribution free tests of independence based on

  • J. R. Blum, J. Kiefer, M. Rossenblatt
  • 1961
Highly Influential
5 Excerpts

K-sample analogues of the Kolmogorov-Smirnov and Cram er-v.Mises tests

  • J. Kiefer
  • 1959
Highly Influential
7 Excerpts

Evaluating GARCH models

  • T. asvirta
  • Journal of Econometrics,
  • 2002
Highly Influential
5 Excerpts

Convergence of multiparameter stochastic processes

  • P. J. Bickel, M. J. Wichura
  • 1971
Highly Influential
3 Excerpts

Similar Papers

Loading similar papers…