On a Threshold Double Autoregressive Model

DOI10.1080/07350015.2014.1001028MaRDI QIDQ6667059zbMATH OpenFDO

Authors Dong Li, Shiqing Ling, Rong-Mao Zhang

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2014.1001028

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(5)

• Coordinate gradient descent algorithm in adaptive LASSO for pure ARCH and pure GARCH models
• Estimation for conditional moment models based on martingale difference divergence
• Bayesian analysis for a threshold double autoregressive model with explanatory variables
• Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
• On efficient estimation for value-at-risk via location-scale time series models

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