Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis

DOI10.1016/j.csda.2011.03.008zbMath1464.62043MaRDI QIDQ1658309

Y. Aharonov

Publication date: 14 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.03.008

zbMATH Keywords

kurtosis; skewness; Lagrange multiplier test; Gram-Charlier density; TGARCH-GC model; threshold GARCH model

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)