Conditional asymmetry in power ARCH\((\infty)\) models

DOI10.1016/j.jeconom.2021.10.013OpenAlexW4206435820MaRDI QIDQ2697981

Julien Royer

Publication date: 14 April 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.10.013

zbMATH Keywords

quasi maximum likelihood estimationmoderate memoryrecursive design bootstraptesting parameters on boundary

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Uses Software

• MCS

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