On the finite dimensional laws of threshold GARCH processes

DOI10.1007/978-3-642-32419-2_24MaRDI QIDQ4644989zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

time seriescontrol chartsdistribution functionheteroskedastic modelsthreshold GARCH processes

Mathematics Subject Classification ID

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)

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Cites work

• Asset price dynamics, volatility, and prediction.
• On the distribution of generalized threshold ARCH stochastic processes
• On the distributional properties of GARCH processes
• The ARL of modified Shewhart control charts for conditionally heteroskedastic models

Cited in

(5)

• Irreducibility and continuity assumptions for positive operators with application to threshold GARCH time series models
• A new approach to integer-valued time series modeling: the Neyman type-A INGARCH model
• On the distribution of generalized threshold ARCH stochastic processes
• On the distribution estimation of power threshold GARCH processes
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process

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