Testing for parameter constancy in GARCH(p, q) models

Statistics and Probability Letters

Volumn 70, Issue 4, 2004, Pages 263-273

  Berkes, Istvan ^a,b,c   Horváth, Lajos ^a,b,c   Kokoszka, Piotr ^a,b,c  

^a INSTITUTE OF EXPERIMENTAL MEDICINE   (Hungary)

^b UNIVERSITY OF UTAH   (United States)

^c UTAH STATE UNIVERSITY   (United States)

Author keywords

Change in parameters; GARCH model; Likelihood scores

Indexed keywords

EID: 22944475260     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2004.10.010     Document Type: Article

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