Asymmetric GARCH processes featuring both threshold effect and bilinear structure
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Publication:419142
DOI10.1016/j.spl.2011.11.023zbMath1237.62113OpenAlexW1982654364MaRDI QIDQ419142
Publication date: 18 May 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2011.11.023
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- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
- BL-GARCH models with elliptical distributed innovations
- Quadratic ARCH Models
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