Zhongfang He - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:03:09+00:00Real Time Detection of Structural Breaks in GARCH Models
https://www.bankofcanada.ca/2009/11/working-paper-2009-31/
A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time.2009-11-15T14:35:36+00:00enReal Time Detection of Structural Breaks in GARCH Models2009-11-15Econometric and statistical methodsFinancial marketsWorking Paper 2009-31 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-31.pdfReal Time Detection of Structural Breaks in GARCH ModelsZhongfang HeJohn M. MaheuNovember 2009CC1C11C15C2C22C5C53