Testing for parameter change epochs in GARCH time series
Year of publication: |
2023
|
---|---|
Authors: | Richter, Stefan ; Wang, Weining ; Wu, Wei Biao |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-423X, ZDB-ID 1475536-1. - Vol. 26.2023, 3, p. 467-491
|
Subject: | GARCH | IGARCH | change-point analysis | concentration inequalities | uniformtest | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
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