On change point test for ARMA–GARCH models: Bootstrap approach
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DOI: 10.1016/j.jkss.2017.11.001
Abstract: Abstract The problem of testing for a parameter change has been a core issue in time series analysis. It is well known that the estimates-based CUSUM test often suffers from severe size distortions in general… read more here.
Keywords: test arma; change; arma garch; test ... See more keywords