Arch model with Box-Cox transformed dependent variable
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References listed on IDEAS
- Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September.
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More about this item
KeywordsARCH/GARCH model Box-Cox ARCH model Box-Cox (BC) transformation Extended BCGARCH model Extended BC transformation Lagrange multiplier test;
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