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Non‐parametric detection and estimation of structural change

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References

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249 cited

2012Testing conditional factor models204 cited

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2015Regression-based estimation of dynamic asset pricing models91 cited
2017Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models49 cited
2014Modeling and testing smooth structural changes with endogenous regressors37 cited
2013Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations37 cited
2012Predicting severe simultaneous recessions using yield spreads as leading indicators29 cited
2015Testing for structural change under non‐stationary variances28 cited
2020Estimating change points in nonparametric time series regression models13 cited
2018Boundary Limit Theory for Functional Local to Unity Regression12 cited
2020Consistent nonparametric change point detection combining CUSUM and marked empirical processes11 cited