On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model (Q4944541)
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scientific article; zbMATH DE number 1419934
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| English | On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model |
scientific article; zbMATH DE number 1419934 |
Statements
On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model (English)
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21 March 2000
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DTARMACH model
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finiteness of moments
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GARCH model
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Markov chain
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strict stationarity
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TARMA model
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0.8212436437606812
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0.8196435570716858
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