Real time detection of structural breaks in GARCH models

Computational Statistics and Data Analysis

Volumn 54, Issue 11, 2010, Pages 2628-2640

  He, Zhongfang ^a   Maheu, John M ^b  

^a Bank of Canada ^*  (Canada)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

CONDITIONAL VARIANCE; GARCH MODELS; MIXTURE MODEL; MODEL ASSUMPTIONS; PARTICLE FILTERING; PATH DEPENDENCE; REAL TIME; REAL-TIME DETECTION; SEQUENTIAL MONTE CARLO METHODS; SIMULATED DATA; STRUCTURAL BREAK;

MONTE CARLO METHODS; SIGNAL FILTERING AND PREDICTION;

SPECIFICATIONS;

EID: 77955272297     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2009.09.038     Document Type: Article

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