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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2010.12
- 수록면
- 1,305 - 1,310 (6page)
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In this paper, we consider a change point test for stochastic volatility models. By considering the relation between moments of the logarithms of squared returns and the parameters, we construct the cusum test to detect changes of the parameters. We also carry out a simulation study and verify that the proposed test is more powerful than the cusum test proposed by Kokoszka and Leipus (2000).
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참고문헌 (14)
참고문헌 신청
1. [학술지(정기간행물)] - Andreou, E. / 2002 / Detecting multiple breaks in financial market volatility dynamics / Journal of Applied Econometrics 17 : 579 ~ 600
2. [단행본] - Billingsley, P. / 1995 / Probability and Measure, 3rd Ed. / Wiley
3. [단행본] - Billingsley, P. / 1999 / Convergence of Probability Measures, 2nd Ed. / Wiley
4. [학술지(정기간행물)] - Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 31 : 307 ~ 327
5. [학술지(정기간행물)] - Carrosco, M. / 2002 / Mixing and moment properties of various GARCH and stochastic volatil-ity models / Econometric Theory 18 : 17 ~ 39
2. [단행본] - Billingsley, P. / 1995 / Probability and Measure, 3rd Ed. / Wiley
3. [단행본] - Billingsley, P. / 1999 / Convergence of Probability Measures, 2nd Ed. / Wiley
4. [학술지(정기간행물)] - Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 31 : 307 ~ 327
5. [학술지(정기간행물)] - Carrosco, M. / 2002 / Mixing and moment properties of various GARCH and stochastic volatil-ity models / Econometric Theory 18 : 17 ~ 39
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UCI(KEPA) : I410-ECN-0101-2018-041-001380341