On conditionally heteroscedastic AR models with thresholds

DOI10.5705/SS.2012.185zbMath1285.62103OpenAlexW2053808280MaRDI QIDQ5413275

Shiqing Ling, Kung-Sik Chan, Howell Tong, Dong Li

Publication date: 29 April 2014

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/04ecf61d997a597834055d335a17ce47db0340a8

zbMATH Keywords

heteroscedasticityheavy tailsrandom fieldsscore testslimiting distributionsthreshold modelsvolatilityconditional variancecompound Poisson processesquasi-maximum likelihood estimationT-CHARM

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

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