Testing for parameter changes in ARCH models (Q1568067)

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Testing for parameter changes in ARCH models
scientific article

    Statements

    title
    Testing for parameter changes in ARCH models (English)
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    publication date
    19 November 2001
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    zbMATH Keywords
    ARCH model
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    change-point testing
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    local alternatives
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    author
    Piotr S. Kokoszka
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    Remigijus Leipus
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    Identifiers

    DOI
    10.1007/BF02469283
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    zbMATH DE Number
    1466100
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