Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis
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Publication:1658309
DOI10.1016/j.csda.2011.03.008zbMath1464.62043OpenAlexW2048821162MaRDI QIDQ1658309
Publication date: 14 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2011.03.008
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites Work
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