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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2008
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| Materias: | |
| 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 |