Asymmetric GARCH processes featuring both threshold effect and bilinear structure (Q419142): Difference between revisions

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+https://doi.org/10.1016/j.spl.2011.11.023
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+W1982654364
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@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
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+BL-GARCH models with elliptical distributed innovations
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+ARCH models and financial applications
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+Properties of moments of a family of GARCH processes
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+Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes
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+Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
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+Q3499189
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+Stationarity and the existence of moments of a family of GARCH processes.
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+ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
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+Estimation and tests for power-transformed and threshold GARCH models
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+Quadratic ARCH Models
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+BL-GARCH models and asymmetries in volatility
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+Q3583112
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