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Change-point detection in GARCH models : asymptotic and bootstrap tests
Kokoszka, Piotr; Teyssière, Gilles - 2002
Persistent link: https://www.econbiz.de/10001732866
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Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
Horváth, Lajos; Kokoszka, Piotr; Tessière, Gilles - 2003
Persistent link: https://www.econbiz.de/10001790731
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Testing for stochastic dominance using the weighted McFadden-type statistic
Horváth, Lajos; Kokoszka, Piotr; Zitikis, Ričardas - In: Journal of econometrics 133 (2006) 1, pp. 191-205
Persistent link: https://www.econbiz.de/10003354571