Sequential change-point detection in GARCH(p,q) models

Econometric Theory

Volumn 20, Issue 6, 2004, Pages 1140-1167

  Berkes, István ^a   Gombay, Edit ^b   Horváth, Lajos ^c   Kokoszka, Piotr ^d  

^a INSTITUTE OF EXPERIMENTAL MEDICINE   (Hungary)

^b UNIVERSITY OF ALBERTA   (Canada)

^c UNIVERSITY OF UTAH   (United States)

^d UTAH STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 9944225527     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466604206041     Document Type: Article

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