Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model
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Publication:286453
DOI10.1016/j.spl.2016.04.002zbMath1343.62058OpenAlexW2320000550MaRDI QIDQ286453
Publication date: 20 May 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2016.04.002
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Probability distributions: general theory (60E05)
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Cites Work
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- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
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