A class of threshold autoregressive conditional heteroscedastic models

DOI10.4310/SII.2011.v4.n2.a10MaRDI QIDQ647171

Wai-Cheung Ip, Heung Wong, XingFa Zhang, Yu'an Li

Publication date: 1 December 2011

Published in: Statistics and Its Interface (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Asymptotic inference in multiple-threshold double autoregressive models ⋮ On a vector double autoregressive model ⋮ Mildly explosive autoregression with mixing innovations ⋮ A functional coefficient GARCH-M model

This page was built for publication: A class of threshold autoregressive conditional heteroscedastic models