Asymmetric GARCH processes featuring both threshold effect and bilinear structure
From MaRDI portal
Publication:419142
DOI10.1016/j.spl.2011.11.023zbMath1237.62113MaRDI 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
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
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