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Inference for Box–Cox Transformed Threshold GARCH Models with Nuisance Parameters

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  • SANGYEOL LEE
  • TAEWOOK LEE

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  • Sangyeol Lee & Taewook Lee, 2012. "Inference for Box–Cox Transformed Threshold GARCH Models with Nuisance Parameters," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 39(3), pages 568-589, September.
    • Handle: RePEc:bla:scjsta:v:39:y:2012:i:3:p:568-589
    DOI: j.1467-9469.2012.00805.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9469.2012.00805.x
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    Cited by:

    1. Jungsik Noh & Sangyeol Lee, 2016. "Quantile Regression for Location-Scale Time Series Models with Conditional Heteroscedasticity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(3), pages 700-720, September.
    2. Lee, Taewook, 2013. "On Jarque–Bera normality and cusum parameter change tests for BCTT-GARCH models," Economics Letters, Elsevier, vol. 119(1), pages 50-54.
    3. Moosup Kim & Sangyeol Lee, 2016. "On the tail index inference for heavy-tailed GARCH-type innovations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(2), pages 237-267, April.

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