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Abstract: Functionals of a two-parameter integrated periodogram have been used for a long time for detecting changes in the spectral distribution of a stationary sequence. The bases for these results are functional central limit theorems for the integrated periodogram having as limit a Gaussian field. In the case of GARCH(p; q) processes a statistic closely related to the integrated periodogram can be used for the purpose of change detection in the model. We derive a central limit theorem for this... (Update)
Context of citations to this paper: More
...Hence the two papers are complements rather than substitutes. Finally, we note that our results are in line with those of Mikosch and St ric (1999), who find structural change in asset return dynamics and argue that it could be responsible for evidence of long memory. We...
...invariance of a particular specification has to be assumed a priori. Among others, Hamilton and Susmel (1994) and Mikosch and Starica (2000) point out that invariant parametric specifications, GARCH say, are often inconvenient to model long return series and, thus,...
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BibTeX entry: (Update)
Mikosch, T. and St|ric|, C. (1999), "Change of Structure in Financial Time series, Long Range Dependence and the GARCH Model," Manuscript, Department of Statistics, University of -26Pennsylvania. http://citeseer.ist.psu.edu/mikosch99change.html More
@misc{ mikosch99change,
author = "T. Mikosch and C. St",
title = "Change of Structure in Financial Time series, Long Range Dependence and
the GARCH Model",
text = "Mikosch, T. and St|ric|, C. (1999), Change of Structure in Financial Time
series, Long Range Dependence and the GARCH Model, Manuscript, Department
of Statistics, University of -26Pennsylvania.",
year = "1999",
url = "citeseer.ist.psu.edu/mikosch99change.html" }
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