On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series

DOI10.1080/03610918.2019.1593453zbMath1497.62249OpenAlexW2936836716MaRDI QIDQ5082676

Jae Eun Yoon, Sun Young Hwang

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1593453

zbMATH Keywords

ARCHquasi-likelihoodasymmetric errorsthreshold-innovation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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