Estimation and tests for TGTACH$\bm{(1, 1)}$ models with heavy-tailed errors: A uniform framework (Q5063704)
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scientific article; zbMATH DE number 7494423
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| English | Estimation and tests for TGTACH$\bm{(1, 1)}$ models with heavy-tailed errors: A uniform framework |
scientific article; zbMATH DE number 7494423 |
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Estimation and tests for TGTACH$\bm{(1, 1)}$ models with heavy-tailed errors: A uniform framework (English)
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21 March 2022
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heavy-tailed TGARCH(1,1) model
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percentile-\(t\) bootstrap subsample method
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strict stationarity tests
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symmetry tests
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0.8795253
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0.8753569
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0.86998653
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0.86119497
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0.86024153
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0.8584454
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0.8575653
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0.85578895
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