On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process (Q2497786)
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scientific article; zbMATH DE number 5043936
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| English | On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process |
scientific article; zbMATH DE number 5043936 |
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On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process (English)
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4 August 2006
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heavy-tail distribution
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Box-Cox transformation
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strict stationarity
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existence of moments
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0.9325671
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0.90079343
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0.89034986
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0.8882124
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0.8766054
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0.86251676
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0.8603849
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0.85880786
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