1 |
Chan, J. and Gupta, A. K. (2000). Parametric statistical change point analysis, Brokauser, Boston.
|
2 |
Csorg}o, M. and Horvath, L. (1997). Limit theorems in change-point analysis, John Wiley & Sons Ltd, West Sussex, England.
|
3 |
Berkes, I., Horvath, L., and Kokoszka, P. (2004). Testing for parameter constancy in GARCH(p,q) models. Statistics and Probability Letter, 4, 263-273.
|
4 |
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.
DOI
ScienceOn
|
5 |
Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom in ation. Econometrica, 50, 987-1008.
DOI
ScienceOn
|
6 |
Francq, C. and Zakoan, J.-M. (2004). Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes. Bernoulli, 10, 605-637.
DOI
ScienceOn
|
7 |
Hamilton, J.D. (1994) Time series analysis, Princeton University Press, New Jersey.
|
8 |
Kim, S., Cho, S. and Lee, S. (2000). On the cusum test for parameter changes in GARCH(1,1) models. The Communications in Statistics, Theory and Methods, 29, 445-462.
DOI
ScienceOn
|
9 |
Kim, T. Y. and Kwon, O. (2011). Confidence interval forecast of exchange rate based on bootstrap method during economic crisis. Journal of the Korean Data & Information Science Society, 22, 895-902.
과학기술학회마을
|
10 |
Kokoszka, P. and Leipus, R. (2000). Change-point estimation in ARCH models. Bernoulli, 6, 513-539.
DOI
ScienceOn
|
11 |
Lee, S., Ha, J., Na, O. and Na, S. (2003). The cusum test for parameter change in time series models. Scandinavian Journal of Statistics, 30, 781-796.
DOI
ScienceOn
|
12 |
Lee, S. and Song, J. (2008). Test for parameter change in ARMA models with GARCH innovations. Statistics and Probability Letter, 78,1990-1998.
DOI
ScienceOn
|
13 |
Lee, S., Tokutsu, Y. and Maekawa, K. (2004). The cusum test for parameter change in regression models with ARCH errors. Journal of Japan Statistical Society, 34, 173-188.
DOI
|
14 |
Ling, S. and Li, W. K. (1998). Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors. Annals of Statistics, 26, 84-125.
DOI
|
15 |
Ling, S. and McAleer, M. (2003a). Asymptotic theory for a vector ARMA-GARCH model. Econometric Theory, 19, 280-310.
|
16 |
Winchern, D. W., Miller, R. B. and Hsu, D. A. (1976). Changes of variance in rst-order autoregressive time series models with an application. Journal of the Royal Statistical Society C, 25, 248-256.
|
17 |
Ling, S. and McAleer, M. (2003b). Adaptive estimation in nonstationry ARMA models with GARCH noises. Annals of Statistics, 31, 642-674.
DOI
|
18 |
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.
과학기술학회마을
|
19 |
Picard, D. (1985). Testing and estimating change-points in time series. Advances in Applied Probability, 17, 841-867.
DOI
ScienceOn
|