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A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model

Title
A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
Authors
Hwang, EunjuShin, Dong Wan
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2015
Journal Title
STATISTICS & PROBABILITY LETTERS
ISSN
0167-7152JCR Link1879-2103JCR Link
Citation
vol. 99, pp. 167 - 176
Keywords
HAR modelLong-memoryParameter constancyRealized volatilityStructural break
Publisher
ELSEVIER SCIENCE BV
Indexed
SCIE; SCOPUS WOS
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.
DOI
10.1016/j.spl.2015.01.013
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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