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

István Berkes; Edit Gombay; Lajos Horvath; Piotr Kokoszka

doi:10.1017/S0266466604206041

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

István Berkes, Edit Gombay, Lajos Horvath, Piotr Kokoszka

Institute of Statistics (5060)

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	1140-1167
Journal	Econometric Theory
Volume	20
Issue number	6
DOIs	https://doi.org/10.1017/S0266466604206041
Publication status	Published - 2004

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Information, Communication & Computing

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Theoretical

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10.1017/S0266466604206041

Cite this

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title = "Sequential change-point detection in GARCH(p.q) models",

author = "Istv{\'a}n Berkes and Edit Gombay and Lajos Horvath and Piotr Kokoszka",

year = "2004",

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journal = "Econometric Theory",

issn = "1469-4360",

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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

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M3 - Article

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VL - 20

SP - 1140

EP - 1167

JO - Econometric Theory

JF - Econometric Theory

IS - 6

ER -

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

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Asymptotic and Statistical Analysis of Time Series in Economy and Finance

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

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Treatment code (Nähere Zuordnung)

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Asymptotic and Statistical Analysis of Time Series in Economy and Finance

Cite this