On the structure of generalized threshold ARCH processes
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Publication:962013
DOI10.1016/J.SPL.2009.12.012zbMATH Open1185.62155OpenAlexW2066083515MaRDI QIDQ962013FDOQ962013
Authors: E. Gonçalves, N. Mendes-Lopes 
Publication date: 1 April 2010
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2009.12.012
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Cites Work
- Introduction to Time Series and Forecasting
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Title not available (Why is that?)
- GARCH processes: structure and estimation
- Stationarity of GARCH processes and of some nonnegative time series
- Properties of moments of a family of GARCH processes
- Threshold heteroskedastic models
- Convergence in distribution of products of random matrices
- Title not available (Why is that?)
- Stationarity of Gtarch Processes
- Recurrence properties of Processes with stationary independent increments
- A mathematical approach to detect the Taylor property in TARCH processes
Cited In (8)
- Qualitative threshold ARCH models
- On the finite dimensional laws of threshold GARCH processes
- Title not available (Why is that?)
- On the probabilistic structure of power threshold generalized ARCH stochastic processes
- Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
- On the distribution of generalized threshold ARCH stochastic processes
- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
- Fourth-order moments of augmented arch processes
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