Sequential change-point detection in GARCH(p.q) models

István Berkes, Edit Gombay, Lajos Horvath, Piotr Kokoszka

Research output: Contribution to journalArticle

Original languageEnglish
Pages (from-to)1140-1167
JournalEconometric theory
Volume20
Issue number6
DOIs
Publication statusPublished - 2004

Fields of Expertise

  • Information, Communication & Computing

Treatment code (Nähere Zuordnung)

  • Theoretical

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