Randomised Pseudolikelihood Ratio Change Point Estimator in Garch Models
Work
Year: 2020
Type: article
Abstract: In this paper, a randomised pseudolikelihood ratio change point estimator for GARCH model is presented. Derivation of a randomised change point estimator for the GARCH model and its consistency are gi... more
Source: Journal of Mathematics
Cites: 16
Cited by: 1
Related to: 10
FWCI: 0.218
Citation percentile (by year/subfield): 49.42
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,800