Computationally attractive stability tests for the efficient method of moments
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Publication:6166863
DOI10.1111/1368-423x.00012MaRDI QIDQ6166863
Publication date: 7 July 2023
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.00012
stochastic volatility models; efficient method of moments; parameter updates; structural stability tests with known breakpoint
62-XX: Statistics
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