DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY
Year of publication: |
2004-02
|
---|---|
Authors: | Carnero, M. Angeles ; Peña, Daniel ; Ruiz, Esther |
Institutions: | Instituto Valenciano de Investigaciones Económicas (IVIE) |
Subject: | EGARCH | GARCH | Likelihood Ratio | Stochastic Volatility |
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