A multivariate threshold GARCH model
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Publication:4900923
zbMATH Open1264.62071MaRDI QIDQ4900923FDOQ4900923
Authors: Ji-Chun Liu, Jingyao Zhang 
Publication date: 24 January 2013
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Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)
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- A general multivariate threshold GARCH model with dynamic conditional correlations
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- Asymptotic inference in multiple-threshold double autoregressive models
- Estimation of multivariate asymmetric power GARCH models
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
- Contemporaneous-threshold smooth transition GARCH models
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
- Multivariate contemporaneous-threshold autoregressive models
- Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
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- On the parametrization of multivariate GARCH models
- On buffered threshold GARCH models
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