Estimation and tests for power-transformed and threshold GARCH models (Q290965)
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scientific article; zbMATH DE number 6589311
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| English | Estimation and tests for power-transformed and threshold GARCH models |
scientific article; zbMATH DE number 6589311 |
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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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0.8392226099967957
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0.8349812626838684
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0.8170270323753357
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0.8104634284973145
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0.8053643107414246
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