Consistency of the model order change-point estimator for GARCH models
Year of publication: |
May 2018
|
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Authors: | Irungu, Irene W. ; Mwita, Peter N. ; Waititu, Antony G. |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 8.2018, 2, p. 266-282
|
Subject: | Autocorrelation Function | Change-Point | Consistency | GARCH | Manhattan Distance | Model Order | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
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