Asymmetric autoregressive models: statistical aspects and a financial application under COVID-19 pandemic
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Publication:5073401
DOI10.1080/02664763.2021.1913103OpenAlexW3158661413MaRDI QIDQ5073401
Shuangzhe Liu, Waldemiro A. Silva Neto, Víctor Leiva, Chaoxuan Mao, Yong Hui Liu
Publication date: 6 May 2022
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664763.2021.1913103
Monte Carlo simulationlocal influencenon-normalityexpectation-maximization algorithmmaximum likelihood methodstimes-series models
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