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Sequential change-point detection in time series models with conditional heteroscedasticity

Authors
Lee, YoungmiKim, SungdonOh, Haejune
Issue Date
Mar-2024
Publisher
Elsevier B.V.
Keywords
Asymmetric GARCH; Conditionally heteroscedastic time series; GARCH-type models; Parameter change; Sequential detection
Citation
Economics Letters, v.236
Indexed
SSCI
SCOPUS
Journal Title
Economics Letters
Volume
236
URI
https://scholarworks.gnu.ac.kr/handle/sw.gnu/69669
DOI
10.1016/j.econlet.2024.111597
ISSN
0165-1765
1873-7374
Abstract
In this study, we investigate a sequential procedure for the early detection of parameter changes in conditionally heteroscedastic time series models. We introduce the detectors based on the cumulative sum of score vectors and residuals for this procedure. The asymptotic properties of the monitoring procedures are established under the null and alternative hypotheses. Simulation results are provided for illustration. © 2024 Elsevier B.V.
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Oh, Hae June
자연과학대학 (정보통계학과)
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