Estimation and tests for power-transformed and threshold GARCH models (Q290965): Difference between revisions
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| Property / author: Howell Tong / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B84 / rank | |||
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| Property / zbMATH DE Number: 6589311 / rank | |||
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threshold GARCH | |||
| Property / zbMATH Keywords: threshold GARCH / rank | |||
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power transformation | |||
| Property / zbMATH Keywords: power transformation / rank | |||
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asymptotic normality | |||
| Property / zbMATH Keywords: asymptotic normality / rank | |||
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quasi-maximum likelihood estimator | |||
| Property / zbMATH Keywords: quasi-maximum likelihood estimator / rank | |||
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least absolute deviations estimation | |||
| Property / zbMATH Keywords: least absolute deviations estimation / rank | |||
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Wald test | |||
| Property / zbMATH Keywords: Wald test / rank | |||
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order selection | |||
| Property / zbMATH Keywords: order selection / rank | |||
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PTTGARCH structure | |||
| Property / zbMATH Keywords: PTTGARCH structure / rank | |||
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Revision as of 19:46, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation and tests for power-transformed and threshold GARCH models |
scientific article |
Statements
Estimation and tests for power-transformed and threshold GARCH models (English)
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3 June 2016
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threshold GARCH
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power transformation
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asymptotic normality
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quasi-maximum likelihood estimator
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least absolute deviations estimation
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Wald test
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order selection
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PTTGARCH structure
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