Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root (Q295710)
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scientific article; zbMATH DE number 6592950
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| English | Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root |
scientific article; zbMATH DE number 6592950 |
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Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root (English)
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13 June 2016
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threshold autoregressive model
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unit root process
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GARCH
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two-parameter Brownian motion
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bootstrap
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0.8336160778999329
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0.8227198719978333
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