This paper studies the change-point problem and the cross-covariance function for ARCH models. Bounds for the cross-covariance function are derived and explicit formulae are obtained in special cases.

This paper analyses two break point estimators: one for a univariate slope-shift model under unit root errors, the other for its first difference (a mean shift model). The asymptotic theory is ...

A point estimate represents the single most plausible value in light of the observed data. However the data will generally be consistent with a whole range of values. Along with a point estimate, it ...