Contemporaneous-Threshold Smooth Transition GARCH Models
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Publication:3081589
DOI10.2202/1558-3708.1755zbMath1229.62120OpenAlexW2137964765MaRDI QIDQ3081589
Michael J. Dueker, Martin Sola, Fabio Spagnolo, Zacharias Psaradakis
Publication date: 9 March 2011
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.utdt.edu/download.php?fname=_125201432533831800.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)
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