Testing for parameter change epochs in GARCH time series

Richter, Stefan, Wang, Weining and Wu, Wei Biao (2023) Testing for parameter change epochs in GARCH time series. Econometrics Journal. pp. 467-491. ISSN 1368-4221

Abstract

Metadata

Item Type: Article
Authors/Creators:
  • Richter, Stefan
  • Wang, Weining (ww1136@york.ac.uk)
  • Wu, Wei Biao
Copyright, Publisher and Additional Information:

© The Author(s) 2023

Dates:
  • Published: 1 September 2023
  • Accepted: 31 January 2023
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 08 Mar 2021 10:50
Last Modified: 26 Nov 2024 00:49
Published Version: https://doi.org/10.1093/ectj/utad006
Status: Published
Refereed: Yes
Identification Number: 10.1093/ectj/utad006
Open Archives Initiative ID (OAI ID):

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Filename: utad006.pdf

Description: Testing for parameter change epochs in GARCH time series

Licence: CC-BY 2.5

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