[34] Horvath, L., Kokoszka, P. and J. Steinebach (1999), “Testing for changes
in multivariate dependent observations with applications to temperature
changes”, Journal of Multivariate Analysis, 68, 96-119.
[35] Hsieh, D.A. (1991), “Chaos and Nonlinear Dynamics: Application to
Financial Markets”, Journal of Finance, 46, 1839-1877.
[36] Inclan, C. and G. Tiao (1994), “Use of Cummulative sums of squares for
retrospective detection of change of variance”, Journal of the American
Statistical Association, 89, 913-923.
[37] Kim, S., S. Cho and S. Lee (2000), “On the CUSUM test for parame-
ter changes in GARCH(I5I) models”, Communications in Statistics, 29,
445-462.
[38] Kokoszka, P. and R. Leipus (1998), “Change-point in the mean of de-
pendent observations”, Statistics and Probability Letters, 40, 385-393.
[39] Kokoszka, P. and R. Leipus (1999), “Testing for parameter changes in
ARCH models”, Lithuanian Mathematical Journal 39, 231-247.
[40] Kokoszka, P. and R. Leipus (2000), “Change-point estimation in ARCH
models”, Bernoulli, 6, 1-28.
[41] Lamoureux, C.G. and W.D. Lastrapes (1990), “Persistence in variance,
structural change and the GARCH model”, Journal of Business and
Economic Statistics, 8, 225-234.
[42] Lavielle, M. and E. Moulines (2000), “Leat-squares Estimation of an
Unknown Number of Shifts in Time Series”, Journal of Time Series
Analysis, 20, 33-60.
[43] Lee, S.W. and B.E. Hansen (1994), “Asymptotic Theory for the GARCH
(1,1) Quasi-Maximum Likelihood Estimator”, Econometric Theory, 10,
29-58.
[44] Ling, S. and M. McAleer (2002a), “Asymptotic Theory for a Vector
ARMA-GARCH Model”, Econometric Theory, forthcoming.
[45] Ling, S. and M. McAleer (2002b), “Stationarity and the Existence of
Moments of a Family of GARCH Proccesses”, Journal of Econometrics,
106, 109-117.
22
More intriguing information
1. An Interview with Thomas J. Sargent2. Gender stereotyping and wage discrimination among Italian graduates
3. Sectoral specialisation in the EU a macroeconomic perspective
4. Fiscal Insurance and Debt Management in OECD Economies
5. Family, social security and social insurance: General remarks and the present discussion in Germany as a case study
6. Exchange Rate Uncertainty and Trade Growth - A Comparison of Linear and Nonlinear (Forecasting) Models
7. WP 48 - Population ageing in the Netherlands: Demographic and financial arguments for a balanced approach
8. Graphical Data Representation in Bankruptcy Analysis
9. Optimal Rent Extraction in Pre-Industrial England and France – Default Risk and Monitoring Costs
10. ENERGY-RELATED INPUT DEMAND BY CROP PRODUCERS