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

István Berkes, Lajos Horváth, Piotr Kokoszka

Research output: Contribution to journalArticle

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

Treatment code (Nähere Zuordnung)

  • Basic - Fundamental (Grundlagenforschung)

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