HIGHLIGHTS
- who: JEL codes C et al. from the Heidelberg University, Institute of Applied Mathematics, Im Neuenheimer Feld, Heidelberg, Germany have published the research work: Testing for parameter change epochs in GARCH time series, in the Journal: (JOURNAL)
- what: The aim of the paper is to develop a generalized uniform test for GARCH models that is able to detect exuberant behaviour periods (periods with integrated or mildly explosive parameter values) associated with the empirical phenomena of mild explosiveness in the second moment. The underlying models focus usually on unit-root or mildly explosive autoregressive (AR) processes . . .
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