On the Cusum test for parameter changes in garch(1,1) Models
Author:
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03610920008832494
Reference12 articles.
1. Generalized autoregressive conditional heteroskedasticity
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3. Modeling The persistence Of Conditional Variances: A Comment
4. Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
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