Change-point estimation in ARCH models

Authors
Kokoszka, P Leipus, R
Citation
P. Kokoszka et R. Leipus, Change-point estimation in ARCH models, BERNOULLI, 6(3), 2000, pp. 513-539
Citations number
24
Categorie Soggetti
Mathematics
Journal title
BERNOULLI
ISSN journal
13507265 → ACNP
Volume
6
Issue
3
Year of publication
2000
Pages
513 - 539
Database
ISI
SICI code
1350-7265(200006)6:3<513:CEIAM>2.0.ZU;2-5
Abstract
This paper studies the change-point problem and the cross-covariance functi on for ARCH models. Bounds for the cross-covariance function are derived an d explicit formulae are obtained in special cases. Consistency of a CUSUM t ype change-point estimator is proved and its rate of convergence is establi shed. A Hajek-Renyi type inequality is also proved. Results are obtained un der weak moment assumptions.