Publication:3461744

DOI10.3969/j.issn.1008-5513.2015.04.011zbMath1340.62088MaRDI QIDQ3461744

Huiqin Lu, Wenzh Zhao

Publication date: 15 January 2016

zbMATH Keywords

GARCH model; change point; ratio test

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G32: Statistics of extreme values; tail inference

62L10: Sequential statistical analysis