On the distribution estimation of power threshold GARCH processes
type: Item
instance of: scholarly article
zbMATH Open document ID: 1396.62205
published in: Journal of Time Series Analysis
publication date: 2016-08-30T00:00:00Z
full work available at URL: http://hdl.handle.net/10316/44814
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6620531
zbMATH Keywords: finite dimensional laws
zbMATH Keywords: threshold GARCH processes
author: E. Gonçalves
author: J. Leite
author: N. Mendes-Lopes
MaRDI profile type: Publication
OpenAlex ID: W2189091877
cites work: GARCH models without positivity constraints: exponential or log GARCH?
cites work: On the probabilistic structure of power threshold generalized ARCH stochastic processes
cites work: The ARL of modified Shewhart control charts for conditionally heteroskedastic models
cites work: Estimation and tests for power-transformed and threshold GARCH models
cites work: On the distributional properties of GARCH processes
cites work: Q3592366
DOI: 10.1111/JTSA.12173
title: On the distribution estimation of power threshold GARCH processes
description: scientific article; zbMATH DE number 6620531