Threshold network GARCH model

DOI10.1111/jtsa.12743MaRDI QIDQ6636846

Jiazhu Pan, Yue Pan

Publication date: 12 November 2024

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

zbMATH Keywords

random fieldheteroscedasticityhigh-dimensional time seriesnetwork structurethreshold GARCHmulti-variate GARCH

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx)

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