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Testing for parameter constancy in GARCH() models

✍ Scribed by Istvan Berkes; Lajos Horváth; Piotr Kokoszka

Book ID
108267210
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
226 KB
Volume
70
Category
Article
ISSN
0167-7152

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Environmental data collected over time can often be described by models with parameters changing suddenly at some unknown point in time. In statistical literature, problems concerning the estimation and testing for the validity of such models are collectively referred to as `change-point problems'.