Qualitative threshold ARCH models

DOI10.1016/0304-4076(92)90069-4zbMath0792.62103OpenAlexW2025728097MaRDI QIDQ1185111

Alain Monfort, Christian Gouriéroux

Publication date: 28 June 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.cepremap.fr/depot/couv_orange/co9109.pdf

zbMATH Keywords

asymptotic propertiesflexibilityconditional variancedynamic modelsspecification errorsconditional meanpiecewise constant functionsmisspecificationsconditional variance specificationcross-effectsParis stock indexpseudo-maximum likelihood estimatorsQTARCH models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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