Arch model with Box-Cox transformed dependent variable

DOI10.1016/S0167-7152(00)00117-6zbMath0979.62069MaRDI QIDQ1593723

Nityananda Sarkar

Publication date: 18 February 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Lagrange multiplierARCH modelBox-Cox power transformationextended BCGARCH modelGarch model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Tail behavior and dependence structure in the APARCH model ⋮ Managing distribution changes in time series prediction

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