A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference
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Publication:2637362
DOI10.1016/j.spl.2013.04.030zbMath1279.62191MaRDI QIDQ2637362
Publication date: 11 February 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2013.04.030
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62G05: Nonparametric estimation
62G09: Nonparametric statistical resampling methods
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