Testing for parameter changes in ARCH models
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Publication:1568067
DOI10.1007/BF02469283zbMath0972.62012MaRDI QIDQ1568067
Remigijus Leipus, Piotr S. Kokoszka
Publication date: 19 November 2001
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F05: Asymptotic properties of parametric tests
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