Real time detection of structural breaks in GARCH models

Real time detection of structural breaks in GARCH models

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. The method conveniently deals with the path dependence problem that arises in these types of models. The performance of the method is shown to work well us...

Detection of structural breaks in linear dynamic panel data models

This paper develops a method for testing for the presence of a single structural break in dynamic panel data models with a multi-factor error structure. The test statistic is developed by combining a modified version of the GMM approach of Robertson and Sarafidis (2015) with the testing procedure of De Wachter and Tzavalis (2012). We focus on the case where N is large and T fixed. The asymptoti...

Documentos de trabajo Structural breaks and GARCH modeling

Outlier Detection in GARCH Models

We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier candidates are the observations with the largest standardized residual. First, a likelihood-ratio based test determines the presence and timing of an outlier. Next, a second test determines the type of additive outlier (volatility or level). The tests are shown to be similar wi...

Real-Time Interference Detection in Tracking Loop of GPS Receiver

Global Positioning System (GPS) spoofing could pose a major threat for GPS navigation ‎systems, so the GPS users have to gain a better understanding of the broader implications of ‎GPS.‎ In this paper, a plenary anti-spoofing approach based on correlation is proposed to distinguish spoofing effects. The suggested ‎method can be easily implemented in tracking loop of GPS receiver...