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

TY - JOUR

T1 - Sequential change-point detection in GARCH(p.q) models

AU - Berkes, István

AU - Gombay, Edit

AU - Horvath, Lajos

AU - Kokoszka, Piotr

PY - 2004

Y1 - 2004

UR - http://journals.cambridge.org/action/displayJournal?jid=ECT

UR - http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=256097&fulltextType=RA&fileId=S0266466604206041

U2 - 10.1017/S0266466604206041

DO - 10.1017/S0266466604206041

M3 - Article

SN - 1469-4360

VL - 20

SP - 1140

EP - 1167

JO - Econometric Theory

JF - Econometric Theory

IS - 6

ER -