Estimation and tests for power-transformed and threshold GARCH models()

Consider a class of power-transformed and threshold GARCH [Formula: see text] (PTTGRACH [Formula: see text]) model, which is a natural generalization of power-transformed and threshold GARCH(1,1) model in Hwang and Basawa [2004. Stationarity and moment structure for Box–Cox transformed threshold GAR...

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Detalles Bibliográficos
Autores principales: Pan, Jiazhu, Wang, Hui, Tong, Howell
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2008
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7116990/
https://www.ncbi.nlm.nih.gov/pubmed/32287880
http://dx.doi.org/10.1016/j.jeconom.2007.06.004

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7116990/
https://www.ncbi.nlm.nih.gov/pubmed/32287880
http://dx.doi.org/10.1016/j.jeconom.2007.06.004

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