Limit theory of model order change-point estimator for GARCH models
Irene W. Irungu, Peter N. Mwita, Antony G. Waititu
| Year of publication: |
May 2018
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|---|---|
| Authors: | Irungu, Irene W. ; Mwita, Peter N. ; Waititu, Antony G. |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 8.2018, 2, p. 426-445
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| Subject: | Autocorrelation Function | Change-Point | Convergence | GARCH | Manhattan Distance | Model Order | Point Process | Regular Variation | Weak Limit | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2018.82027 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011875287