On the Distribution Estimation of Power Threshold Garch Processes

DOI10.1111/JTSA.12173zbMath1396.62205OpenAlexW2189091877MaRDI QIDQ2817307

Nazaré Mendes Lopes, Esmeralda Gonçalves, Joana Leite

Publication date: 30 August 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10316/44814

zbMATH Keywords

finite dimensional lawsthreshold GARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Unnamed Item
• Estimation and tests for power-transformed and threshold GARCH models
• On the probabilistic structure of power threshold generalized ARCH stochastic processes
• The ARL of modified Shewhart control charts for conditionally heteroskedastic models
• GARCH models without positivity constraints: exponential or log GARCH?
• On the Distributional Properties of GARCH Processes

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