Parameter change tests for ARMA-GARCH models
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Publication:1662169
DOI10.1016/j.csda.2017.12.002zbMath1469.62144OpenAlexW2780115854MaRDI QIDQ1662169
Publication date: 17 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2017.12.002
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
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