Quasi‐maximum exponential likelihood estimation for double‐threshold GARCH models

DOI10.1002/cjs.11614zbMath1492.62140OpenAlexW3156888768WikidataQ115613388 ScholiaQ115613388MaRDI QIDQ5094270

Kai Yang, De-Hui Wang, Tongwei Zhang

Publication date: 2 August 2022

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11614

zbMATH Keywords

asymptotic propertiesfinancial time seriesthreshold modelGARCH modelQMELE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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