Arch model with Box-Cox transformed dependent variable
type: Item
instance of: scholarly article
title: Arch model with Box-Cox transformed dependent variable
zbMATH Open document ID: 0979.62069
DOI: 10.1016/S0167-7152(00)00117-6
author: Nityananda Sarkar
published in: Statistics \& Probability Letters
publication date: 2002-02-18T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 1556857
zbMATH Keywords: Garch model
zbMATH Keywords: extended BCGARCH model
zbMATH Keywords: Box-Cox power transformation
zbMATH Keywords: Lagrange multiplier
zbMATH Keywords: ARCH model
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1556857