A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hwang, Eunju | - |
dc.contributor.author | Shin, Dong Wan | - |
dc.date.available | 2020-02-28T09:45:42Z | - |
dc.date.created | 2020-02-06 | - |
dc.date.issued | 2015-04 | - |
dc.identifier.issn | 0167-7152 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/10658 | - |
dc.description.abstract | For testing error variance instability, a test based on CUSUM squares of the residuals in HAR model is constructed and its limiting null distribution is derived to be a simple function of the standard Brownian bridge. A finite sample Monte-Carlo experiment shows reasonable size and power performances of the proposed test. The test is applied to the log-return realized volatilities of some stock price index and exchange rate to find evidence for variance instability after adjusting long-memories. (C) 2015 Elsevier B.V. All rights reserved. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.relation.isPartOf | STATISTICS & PROBABILITY LETTERS | - |
dc.subject | REALIZED VOLATILITY | - |
dc.subject | SQUARES TEST | - |
dc.subject | EXCHANGE | - |
dc.subject | RETURNS | - |
dc.subject | STOCK | - |
dc.title | A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 1 | - |
dc.identifier.wosid | 000352169200023 | - |
dc.identifier.doi | 10.1016/j.spl.2015.01.013 | - |
dc.identifier.bibliographicCitation | STATISTICS & PROBABILITY LETTERS, v.99, pp.167 - 176 | - |
dc.identifier.scopusid | 2-s2.0-84922541767 | - |
dc.citation.endPage | 176 | - |
dc.citation.startPage | 167 | - |
dc.citation.title | STATISTICS & PROBABILITY LETTERS | - |
dc.citation.volume | 99 | - |
dc.contributor.affiliatedAuthor | Hwang, Eunju | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | HAR model | - |
dc.subject.keywordAuthor | Long-memory | - |
dc.subject.keywordAuthor | Parameter constancy | - |
dc.subject.keywordAuthor | Realized volatility | - |
dc.subject.keywordAuthor | Structural break | - |
dc.subject.keywordPlus | REALIZED VOLATILITY | - |
dc.subject.keywordPlus | SQUARES TEST | - |
dc.subject.keywordPlus | EXCHANGE | - |
dc.subject.keywordPlus | RETURNS | - |
dc.subject.keywordPlus | STOCK | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
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