Matches in SemOpenAlex for { <https://semopenalex.org/work/W3123679894> ?p ?o ?g. }
Showing items 1 to 75 of
75
with 100 items per page.
- W3123679894 abstract "We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH$(r,s)$ (generalized autoregressive conditional heteroskedasticity) process. Namely, we test the null hypothesis of a globally stable GARCH process with constant parameters against an alternative where there is an 'abnormal' period with changed parameter values. During this period, the change may lead to an explosive behavior of the volatility process. It is assumed that both the magnitude and the timing of the breaks are unknown. We develop a double supreme test for the existence of a break, and then provide an algorithm to identify the period of change. Our theoretical results hold under mild moment assumptions on the innovations of the GARCH process. Technically, the existing properties for the QMLE in the GARCH model need to be reinvestigated to hold uniformly over all possible periods of change. The key results involve a uniform weak Bahadur representation for the estimated parameters, which leads to weak convergence of the test statistic to the supreme of a Gaussian Process. In simulations we show that the test has good size and power for reasonably large time series lengths. We apply the test to Apple asset returns and Bitcoin returns." @default.
- W3123679894 created "2021-02-01" @default.
- W3123679894 creator A5036683934 @default.
- W3123679894 creator A5040965135 @default.
- W3123679894 creator A5055274857 @default.
- W3123679894 date "2018-01-01" @default.
- W3123679894 modified "2023-09-23" @default.
- W3123679894 title "A supreme test for periodic explosive GARCH" @default.
- W3123679894 hasPublicationYear "2018" @default.
- W3123679894 type Work @default.
- W3123679894 sameAs 3123679894 @default.
- W3123679894 citedByCount "0" @default.
- W3123679894 crossrefType "posted-content" @default.
- W3123679894 hasAuthorship W3123679894A5036683934 @default.
- W3123679894 hasAuthorship W3123679894A5040965135 @default.
- W3123679894 hasAuthorship W3123679894A5055274857 @default.
- W3123679894 hasConcept C101104100 @default.
- W3123679894 hasConcept C105795698 @default.
- W3123679894 hasConcept C143724316 @default.
- W3123679894 hasConcept C149782125 @default.
- W3123679894 hasConcept C151730666 @default.
- W3123679894 hasConcept C154238967 @default.
- W3123679894 hasConcept C159877910 @default.
- W3123679894 hasConcept C169857963 @default.
- W3123679894 hasConcept C178790620 @default.
- W3123679894 hasConcept C185592680 @default.
- W3123679894 hasConcept C23922673 @default.
- W3123679894 hasConcept C28826006 @default.
- W3123679894 hasConcept C33923547 @default.
- W3123679894 hasConcept C86803240 @default.
- W3123679894 hasConcept C87007009 @default.
- W3123679894 hasConcept C91602232 @default.
- W3123679894 hasConceptScore W3123679894C101104100 @default.
- W3123679894 hasConceptScore W3123679894C105795698 @default.
- W3123679894 hasConceptScore W3123679894C143724316 @default.
- W3123679894 hasConceptScore W3123679894C149782125 @default.
- W3123679894 hasConceptScore W3123679894C151730666 @default.
- W3123679894 hasConceptScore W3123679894C154238967 @default.
- W3123679894 hasConceptScore W3123679894C159877910 @default.
- W3123679894 hasConceptScore W3123679894C169857963 @default.
- W3123679894 hasConceptScore W3123679894C178790620 @default.
- W3123679894 hasConceptScore W3123679894C185592680 @default.
- W3123679894 hasConceptScore W3123679894C23922673 @default.
- W3123679894 hasConceptScore W3123679894C28826006 @default.
- W3123679894 hasConceptScore W3123679894C33923547 @default.
- W3123679894 hasConceptScore W3123679894C86803240 @default.
- W3123679894 hasConceptScore W3123679894C87007009 @default.
- W3123679894 hasConceptScore W3123679894C91602232 @default.
- W3123679894 hasLocation W31236798941 @default.
- W3123679894 hasOpenAccess W3123679894 @default.
- W3123679894 hasPrimaryLocation W31236798941 @default.
- W3123679894 hasRelatedWork W1588138932 @default.
- W3123679894 hasRelatedWork W1596086114 @default.
- W3123679894 hasRelatedWork W1975895240 @default.
- W3123679894 hasRelatedWork W1982879133 @default.
- W3123679894 hasRelatedWork W2028398105 @default.
- W3123679894 hasRelatedWork W2076353229 @default.
- W3123679894 hasRelatedWork W2089514117 @default.
- W3123679894 hasRelatedWork W2264807981 @default.
- W3123679894 hasRelatedWork W2341168382 @default.
- W3123679894 hasRelatedWork W2377327011 @default.
- W3123679894 hasRelatedWork W2742590235 @default.
- W3123679894 hasRelatedWork W2790799296 @default.
- W3123679894 hasRelatedWork W2889242048 @default.
- W3123679894 hasRelatedWork W2906128065 @default.
- W3123679894 hasRelatedWork W3091465761 @default.
- W3123679894 hasRelatedWork W3122974906 @default.
- W3123679894 hasRelatedWork W3125220187 @default.
- W3123679894 hasRelatedWork W3125484708 @default.
- W3123679894 hasRelatedWork W3186707933 @default.
- W3123679894 hasRelatedWork W1832231295 @default.
- W3123679894 isParatext "false" @default.
- W3123679894 isRetracted "false" @default.
- W3123679894 magId "3123679894" @default.
- W3123679894 workType "article" @default.