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

István Berkes, Lajos Horváth, Piotr Kokoszka

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

Original language	English
Pages (from-to)	263-273
Journal	Statistics & Probability Letters
Volume	70
Issue number	4
Publication status	Published - 2004

Treatment code (Nähere Zuordnung)

@article{e9fdf60f57b14b54b98c8a69ed12eb40,

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

author = "Istv{\'a}n Berkes and Lajos Horv{\'a}th and Piotr Kokoszka",

year = "2004",

language = "English",

volume = "70",

pages = "263--273",

journal = "Statistics & Probability Letters",

issn = "1879-2103",

publisher = "Elsevier B.V.",

number = "4",

}