On the Finite Dimensional Laws of Threshold GARCH Processes

DOI10.1007/978-3-642-32419-2_24zbMath1407.62314OpenAlexW2234149481MaRDI QIDQ4644989

Joana Leite, Esmeralda Gonçalves, Nazaré 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

zbMATH Keywords

time seriesdistribution functioncontrol chartsheteroskedastic modelsthreshold GARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Exact distribution theory in statistics (62E15) Generalized stochastic processes (60G20)

Related Items (1)

A new approach to integer-valued time series modeling: the Neyman type-A INGARCH model

Cites Work

• The ARL of modified Shewhart control charts for conditionally heteroskedastic models
• On the Distributional Properties of GARCH Processes
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