Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
type: Item
instance of: scholarly article
title: Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
zbMATH Open document ID: 1487.62109
author: Sangyeol Lee
author: Byungsoo Kim
published in: Statistical Methodology
publication date: 2019-03-13T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M07
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7035725
zbMATH Keywords: change point test
zbMATH Keywords: copula
zbMATH Keywords: CUSUM test
zbMATH Keywords: nonlinear AR models with nonlinear GARCH errors
zbMATH Keywords: STAR-STGARCH models
MaRDI profile type: Publication
full work available at URL: j.stamet.2014.12.001
OpenAlex ID: W1963691858
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DOI: 10.1016/J.STAMET.2014.12.001
description: scientific article; zbMATH DE number 7035725