참고문헌
- Andreou, E. and Ghysels, E. (2002). Detecting multiple breaks in financial market volatility dynamics. Journal of Applied Econometrics, 17, 579-600. https://doi.org/10.1002/jae.684
- Billingsley, P. (1995). Probability and Measure, 3rd Ed., Wiley, New York.
- Billingsley, P. (1999). Convergence of Probability Measures, 2nd Ed., Wiley, New York.
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
- Carrosco, M. and Chen, X. (2002) Mixing and moment properties of various GARCH and stochastic volatility models. Econometric Theory, 18, 17-39. https://doi.org/10.1017/S0266466602181023
- Davydov, Y. A. (1973) Mixing conditions for Markov chains. Theory of Probability and its Applications, XVIII, 312-328.
- Gallant, A. R. (1987) Nonlinear Statistical Models, Wiley, New York.
- Im, C. and Cho, G. (2009) Multiparameter CUSUM charts with variable sampling intervals. Journal of the Korean Data & Information Science Society, 20, 593-599.
- Inclan, C. and Tiao, G. C. (1994) Use of cumulative sums of squares for restrospective detection of changes of variance. Journal of the American Statistical Association, 89, 913-923. https://doi.org/10.2307/2290916
- Kokoszka, P. and Leipus, R. (2000). Change-point estimation in ARCH models. Bernoulli, 6, 513-539. https://doi.org/10.2307/3318673
- Lee, S. Ha, J., Na, O. and Na, S. (2003). The cusum test for parameter change in time series models. Scand. J. Statist, 30, 781-796. https://doi.org/10.1111/1467-9469.00364
- Lee, S., Lee T. and Na, O. (2010). Cusum of squares test for discretely observed sample from diffusion processes. Journal of the Korean Data & Information Science Society, 21, 179-183.
- Na, O., Ko, B. and Lee, S. (2010) Cusum of squares test for discretely observed sample from multidimensional diffusion processes. Journal of the Korean Data & Information Science Society, 21, 547-554.
- Park, S. and Lee, S. (2007). Modelling KOSPI200 data based on GARCH(1,1) parameter change test. Journal of the Korean Data & Information Science Society, 18, 11-16.