Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes

DOI10.1016/j.spl.2003.08.016zbMath1075.62080MaRDI QIDQ1771421

Ishwar V. Basawa, Sun Young Hwang

Publication date: 21 April 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2003.08.016

zbMATH Keywords

Box-Cox transformation; Quasilikelihood estimation; Stationary moments; Threshold GARCH

Mathematics Subject Classification ID

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

Related Items

The autocorrelation structure of the Markov-switching asymmetric power GARCH process, Persistent-threshold-GARCH processes: model and application, Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations, Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes, Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process, On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process, Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes

Cites Work

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