On score vector- and residual-based CUSUM tests in ARMA-GARCH models (Q2324264)
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scientific article; zbMATH DE number 7103454
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| English | On score vector- and residual-based CUSUM tests in ARMA-GARCH models |
scientific article; zbMATH DE number 7103454 |
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On score vector- and residual-based CUSUM tests in ARMA-GARCH models (English)
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11 September 2019
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ARMA-GARCH models
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parameter change test
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CUSUM test
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weak convergence to a Browinan bridge
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0.90603495
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0.9031435
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0.8967192
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0.8896638
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0.8855262
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0.8784778
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0.8765937
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