CUSUM test for general nonlinear integer-valued GARCH models: comparison study
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s10463-018-0676-7.pdf
Reference41 articles.
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3. Berkes, I., Horvth, L., Kokoszka, P. (2004). Testing for parameter constancy in GARCH(p, q) models. Statistics & Probability Letters, 70(4), 263–273.
4. Chen, C. W., Lee, S. (2016). Generalized Poisson autoregressive models for time series of counts. Computational Statistics & Data Analysis, 99, 51–67.
5. Christou, V., Fokianos, K. (2014). Quasi-likelihood inference for negative binomial time series models. Journal of Time Series Analysis, 35(1), 55–78.
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