Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes (Q3396477)
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scientific article; zbMATH DE number 5604750
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| English | Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes |
scientific article; zbMATH DE number 5604750 |
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Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes (English)
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18 September 2009
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joint asymptotic distribution
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sample autocorrelations
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squared process
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threshold-asymmetric GARCH
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0.7943239212036133
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0.79108065366745
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0.7899101376533508
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0.7843189835548401
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0.7807245254516602
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