On the threshold innovation in quasi-likelihood for conditionally heteroscedastic time series
DOI10.1080/03610918.2019.1593453zbMATH Open1497.62249OpenAlexW2936836716MaRDI QIDQ5082676FDOQ5082676
Authors: Jae Eun Yoon, S. Y. Hwang 
Publication date: 21 June 2022
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2019.1593453
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- Asymmetric GARCH processes featuring both threshold effect and bilinear structure
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- Practical Issues in the Analysis of Univariate GARCH Models
- Quasilikelihood and quasi-maximum likelihood for GARCH-type processes: estimating function approach
- Directional dependence via Gaussian copula beta regression model with asymmetric GARCH marginals
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