Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes (Q3396477)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes |
scientific article |
Statements
Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes (English)
0 references
18 September 2009
0 references
joint asymptotic distribution
0 references
sample autocorrelations
0 references
squared process
0 references
threshold-asymmetric GARCH
0 references
0 references
0 references
0 references
0 references
0 references
0 references
