Testing for jumps in the EGARCH process
type: Item
instance of: scholarly article
title: Testing for jumps in the EGARCH process
zbMATH Open document ID: 1168.91498
author: Xiuhong Shi
author: Masahito Kobayashi
published in: Mathematics and Computers in Simulation
publication date: 2009-08-19T00:00:00Z
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 5596879
zbMATH Keywords: Davies problem
zbMATH Keywords: Dirac's delta function
zbMATH Keywords: exponential GARCH
zbMATH Keywords: jump process
zbMATH Keywords: Lagrange multiplier test
MaRDI profile type: Publication
full work available at URL: j.matcom.2008.05.003
OpenAlex ID: W2084924396
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DOI: 10.1016/J.MATCOM.2008.05.003
description: scientific article; zbMATH DE number 5596879