Testing for parameter constancy in GARCH\((p,q)\) models
type: Item
instance of: scholarly article
title: Testing for parameter constancy in GARCH\((p,q)\) models
zbMATH Open document ID: 1058.62070
author: Lajos Horváth
author: István Berkes
author: Piotr Kokoszka
published in: Statistics \& Probability Letters
publication date: 2005-03-08T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 62F05
zbMATH DE Number: 2142297
zbMATH Keywords: Change in parameters
zbMATH Keywords: GARCH model
zbMATH Keywords: Likelihood scores
MaRDI profile type: Publication
full work available at URL: j.spl.2004.10.010
OpenAlex ID: W2088704603
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DOI: 10.1016/J.SPL.2004.10.010
description: scientific article; zbMATH DE number 2142297