On the distribution estimation of power threshold GARCH processes

DOI10.1111/JTSA.12173MaRDI QIDQ2817307zbMATH OpenOpenAlexFDO

Authors E. Gonçalves, J. Leite, N. Mendes-Lopes

Publication date 30 August 2016

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10316/44814

zbMATH Keywords

finite dimensional lawsthreshold GARCH processes

Mathematics Subject Classification ID

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

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Cites work

• Asset price dynamics, volatility, and prediction.
• Estimation and tests for power-transformed and threshold GARCH models
• GARCH models without positivity constraints: exponential or log GARCH?
• On the distributional properties of GARCH processes
• On the probabilistic structure of power threshold generalized ARCH stochastic processes
• The ARL of modified Shewhart control charts for conditionally heteroskedastic models

Cited in

(6)

• Uneven two-sided power distributions with applications in econometric models
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
• On the finite dimensional laws of threshold GARCH processes
• On the distribution of generalized threshold ARCH stochastic processes
• Statistical inferences for a type of TGARCH model
• Distributional analysis of empirical volatility in GARCH processes

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