Estimation and tests for power-transformed and threshold GARCH models

DOI10.1016/j.jeconom.2007.06.004zbMath1418.62345WikidataQ91904649 ScholiaQ91904649MaRDI QIDQ290965

Hui Wang, Jiazhu Pan, Howell Tong

Publication date: 3 June 2016

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

Full work available at URL: http://europepmc.org/articles/pmc7116990

zbMATH Keywords

asymptotic normality; Wald test; quasi-maximum likelihood estimator; least absolute deviations estimation; order selection; power transformation; PTTGARCH structure; threshold GARCH

Mathematics Subject Classification ID

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

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