C2 - Single Equation Models; Single Variables
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A Consistent Test for Multivariate Conditional Distributions
We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. -
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.