On conditionally heteroscedastic AR models with thresholds

DOI10.5705/SS.2012.185MaRDI QIDQ5413275zbMATH OpenOpenAlexFDO

Authors Kung-Sik Chan, Dong Li, Shiqing Ling, Howell Tong

Publication date 29 April 2014

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/04ecf61d997a597834055d335a17ce47db0340a8

zbMATH Keywords

compound Poisson processesconditional varianceheavy tailsheteroscedasticitylimiting distributionsquasi-maximum likelihood estimationrandom fieldsscore testsT-CHARMthreshold modelsvolatility

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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