Testing for parameter constancy in GARCH(p,q) models

István Berkes, Lajos Horváth, Piotr Kokoszka

Research output: Contribution to journalArticleResearchpeer-review

Original languageEnglish
Pages (from-to)263-273
JournalStatistics & probability letters
Volume70
Issue number4
Publication statusPublished - 2004

Treatment code (Nähere Zuordnung)

  • Basic - Fundamental (Grundlagenforschung)

Cite this

Testing for parameter constancy in GARCH(p,q) models. / Berkes, István; Horváth, Lajos; Kokoszka, Piotr.

In: Statistics & probability letters, Vol. 70, No. 4, 2004, p. 263-273.

Research output: Contribution to journalArticleResearchpeer-review

Berkes, I, Horváth, L & Kokoszka, P 2004, 'Testing for parameter constancy in GARCH(p,q) models' Statistics & probability letters, vol. 70, no. 4, pp. 263-273.
Berkes, István ; Horváth, Lajos ; Kokoszka, Piotr. / Testing for parameter constancy in GARCH(p,q) models. In: Statistics & probability letters. 2004 ; Vol. 70, No. 4. pp. 263-273.
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