On conditionally heteroscedastic AR models with thresholds (Q5413275)
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scientific article; zbMATH DE number 6290113
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On conditionally heteroscedastic AR models with thresholds |
scientific article; zbMATH DE number 6290113 |
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On conditionally heteroscedastic AR models with thresholds (English)
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29 April 2014
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compound Poisson processes
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conditional variance
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heavy tails
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heteroscedasticity
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limiting distributions
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quasi-maximum likelihood estimation
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random fields
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score tests
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T-CHARM
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threshold models
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volatility
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