Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
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Publication:3396477
DOI10.1080/02331880802172818zbMath1278.62144OpenAlexW2000616524MaRDI QIDQ3396477
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Publication date: 18 September 2009
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331880802172818
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)
Related Items (4)
Asymmetric GARCH processes featuring both threshold effect and bilinear structure ⋮ Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series ⋮ Persistent-threshold-GARCH processes: model and application ⋮ A note on Jarque-Bera normality test for ARMA-GARCH innovations
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