Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes (Q1771421)
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scientific article; zbMATH DE number 2159984
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes |
scientific article; zbMATH DE number 2159984 |
Statements
Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes (English)
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21 April 2005
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Box-Cox transformation
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Threshold GARCH
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Stationary moments
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Quasilikelihood estimation
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