Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis (Q1658309)
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scientific article; zbMATH DE number 6917717
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis |
scientific article; zbMATH DE number 6917717 |
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Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis (English)
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14 August 2018
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Gram-Charlier density
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kurtosis
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Lagrange multiplier test
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skewness
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TGARCH-GC model
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threshold GARCH model
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