Testing for parameter constancy in GARCH\((p,q)\) models (Q1767739): Difference between revisions

@@ Property / author @@
-István Berkes
@@ Property / author: István Berkes / rank @@
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@@ Property / author @@
-Piotr S. Kokoszka
@@ Property / author: Piotr S. Kokoszka / rank @@
-Normal rank
@@ Property / author @@
+István Berkes
@@ Property / author: István Berkes / rank @@
+Normal rank
@@ Property / author @@
+Piotr S. Kokoszka
@@ Property / author: Piotr S. Kokoszka / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spl.2004.10.010
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@@ Property / OpenAlex ID @@
+W2088704603
@@ Property / OpenAlex ID: W2088704603 / rank @@
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@@ Property / cites work @@
+Q4450672
@@ Property / cites work: Q4450672 / rank @@
+Normal rank
@@ Property / cites work @@
+The rate of consistency of the quasi-maximum likelihood estimator.
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+The efficiency of the estimators of the parameters in GARCH processes.
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+GARCH processes: structure and estimation
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+Stationarity of GARCH processes and of some nonnegative time series
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+Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
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+Testing for parameter changes in ARCH models
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+Evaluating GARCH models.
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@@ links / mardi / name / links / mardi / name @@
+Publication:1767739