Test for parameter change in ARMA models with GARCH innovations

2008 ◽  
Vol 78 (13) ◽  
pp. 1990-1998 ◽  
Author(s):  
Sangyeol Lee ◽  
Junmo Song
Keyword(s):  
Arma Models ◽  
Parameter Change ◽  
Test For Parameter Change

scholarly journals The Cusum Test for Parameter Change in Regression Models with ARCH Errors

2004 ◽  
Vol 34 (2) ◽  
pp. 173-188 ◽  
Author(s):  
Sangyeol Lee ◽  
Yasuyoshi Tokutsu ◽  
Koichi Maekawa
Keyword(s):  
Regression Models ◽  
Cusum Test ◽  
Parameter Change ◽  
Test For Parameter Change

scholarly journals Test for Parameter Change in ARIMA Models

2006 ◽  
Vol 35 (2) ◽  
pp. 429-439 ◽  
Author(s):  
Sangyeol Lee ◽  
Siyun Park ◽  
Koichi Maekawa ◽  
Ken-Ichi Kawai
Keyword(s):  
Arima Models ◽  
Parameter Change ◽  
Test For Parameter Change
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