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Persistent link: https://www.econbiz.de/10014391712
We develop a uniform test for detecting and dating the integrated or mildly explosive behaviour of a strictly stationary generalized autoregressive conditional heteroskedasticity (GARCH) process. Namely, we test the null hypothesis of a globally stable GARCH process with constant parameters...
Persistent link: https://www.econbiz.de/10013238351