SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
| Year of publication: |
2004
|
|---|---|
| Authors: | Berkes, István ; Gombay, Edit ; Horváth, Lajos ; Kokoszka, Piotr |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 9016612. - Vol. 20.2004, 6, p. 1140-1167
|