Residual Based Cusum Test for Parameter Change in AR-GARCH Models

2014 ◽  
pp. 101-111 ◽  
Author(s):  
Sangyeol Lee ◽  
Jiyeon Lee
Keyword(s):  
Garch Models ◽  
Cusum Test ◽  
Parameter Change ◽  
Test For Parameter Change

scholarly journals The Cusum Test for Parameter Change in Regression Models with ARCH Errors

2004 ◽  
Vol 34 (2) ◽  
pp. 173-188 ◽  
Author(s):  
Sangyeol Lee ◽  
Yasuyoshi Tokutsu ◽  
Koichi Maekawa
Keyword(s):  
Regression Models ◽  
Cusum Test ◽  
Parameter Change ◽  
Test For Parameter Change

The Cusum Test for Parameter Change in Time Series Models

2003 ◽  
Vol 30 (4) ◽  
pp. 781-796 ◽  
Author(s):  
Sangyeol Lee ◽  
Jeongcheol Ha ◽  
Okyoung Na ◽  
Seongryong Na
Keyword(s):  
Time Series ◽  
Time Series Models ◽  
Cusum Test ◽  
Parameter Change ◽  
Test For Parameter Change

Test for parameter change in ARMA models with GARCH innovations

2008 ◽  
Vol 78 (13) ◽  
pp. 1990-1998 ◽  
Author(s):  
Sangyeol Lee ◽  
Junmo Song
Keyword(s):  
Arma Models ◽  
Parameter Change ◽  
Test For Parameter Change

Parameter change tests for ARMA–GARCH models

2018 ◽  
Vol 121 ◽  
pp. 41-56 ◽  
Author(s):  
Junmo Song ◽  
Jiwon Kang
Keyword(s):  
Garch Models ◽  
Parameter Change
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