On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
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Publication:2497786
DOI10.1016/J.SPL.2006.01.009zbMath1096.60018OpenAlexW2081480433MaRDI QIDQ2497786
Publication date: 4 August 2006
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2006.01.009
Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Stochastic stability in control theory (93E15)
Related Items (8)
Estimation and tests for power-transformed and threshold GARCH models ⋮ The autocorrelation structure of the Markov-switching asymmetric power GARCH process ⋮ Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process ⋮ Semiparametric efficient adaptive estimation of the GJR-GARCH model ⋮ Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes ⋮ Persistent-threshold-GARCH processes: model and application ⋮ Asymptotic variance–covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes ⋮ A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors
Cites Work
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- Stationarity of GARCH processes and of some nonnegative time series
- Limit theory for bilinear processes with heavy-tailed noise
- Regular variation of GARCH processes.
- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
- Generalized autoregressive conditional heteroscedasticity
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- Threshold \(\text{Arch}(1)\) processes: Asymptotic inference
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