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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/74385

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/74385

Title:	Testing Shifts in Financial Models with Conditional Heteroskedasticity: An Empirical Distribution Function Approach
Authors:	Lin, Shinn-Juh;Yang, Jian 林信助
Contributors:	國貿系
Keywords:	change point;empirical distribution function;sequential empirical process;weak convergence;two-parameter brownian bridge
Date:	1999
Issue Date:	2015-04-08 14:52:49 (UTC+8)
Abstract:	This paper proposes a class of test procedures for a structural change with an unknown change point. In particular, we consider a general financial time series model with conditional heteroskedasticity. The test statistics are constructed via the empirical distribution approach and aim at detecting a change that may occur beyond the second moment. We derive the asymptotic null distributions of the test statistics and tabulate the critical values. Studies of the local power show that the test statistics have non-trivial local power. Finite sample performances of the proposed tests are studied via Monte Carlo methods. This test procedures are applied to test the change point in the S&P 500 daily index returns.
Relation:	No 63, Econometric Society World Congress 2000 Contributed Papers from Econometric Society
Data Type:	article
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

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