On the finite dimensional laws of threshold GARCH processes
DOI10.1007/978-3-642-32419-2_24zbMATH Open1407.62314OpenAlexW2234149481MaRDI QIDQ4644989FDOQ4644989
Authors: E. Gonçalves, J. Leite, N. Mendes-Lopes 
Publication date: 9 January 2019
Published in: Recent Developments in Modeling and Applications in Statistics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10316/44834
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Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Generalized stochastic processes (60G20)
Cites Work
Cited In (5)
- Irreducibility and continuity assumptions for positive operators with application to threshold GARCH time series models
- On the distribution estimation of power threshold GARCH processes
- On the distribution of generalized threshold ARCH stochastic processes
- A new approach to integer-valued time series modeling: the Neyman type-A INGARCH model
- On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
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