On the distribution of generalized threshold ARCH stochastic processes

MaRDI QIDQ5440563zbMATH OpenFDO

Authors E. Gonçalves, N. Mendes-Lopes

Publication date 5 February 2008

zbMATH Keywords

GTARCH modelsnonlinear time series

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Nonparametric inference (62G99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(5)

• The ARL of modified Shewhart control charts for conditionally heteroskedastic models
• On the distributional properties of GARCH processes
• On the distribution estimation of power threshold GARCH processes
• On the finite dimensional laws of threshold GARCH processes
• The marginal distribution function of threshold-type processes with central symmetric innovations

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