Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
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- Haas, Markus, 2008. "The autocorrelation structure of the Markov-switching asymmetric power GARCH process," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1480-1489, September.
- Aknouche, Abdelhakim & Al-Eid, Eid M. & Hmeid, Aboubakry M., 2011. "Offline and online weighted least squares estimation of nonstationary power ARCH processes," Statistics & Probability Letters, Elsevier, vol. 81(10), pages 1535-1540, October.
- Wang, Hui & Pan, Jiazhu, 2014. "Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 117-123.
- Haas, Markus, 2009. "Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes," Statistics & Probability Letters, Elsevier, vol. 79(15), pages 1674-1683, August.
- Park, J.A. & Baek, J.S. & Hwang, S.Y., 2009. "Persistent-threshold-GARCH processes: Model and application," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 907-914, April.
- Hwang, S.Y. & Baek, J.S. & Park, J.A. & Choi, M.S., 2010. "Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations," Statistics & Probability Letters, Elsevier, vol. 80(1), pages 26-33, January.
- 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.
- Choi, M.S. & Park, J.A. & Hwang, S.Y., 2012. "Asymmetric GARCH processes featuring both threshold effect and bilinear structure," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 419-426.
- M. Angeles Carnero Fernández & Ana Pérez Espartero, 2018. "Outliers and misleading leverage effect in asymmetric GARCH-type models," Working Papers. Serie AD 2018-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Liu, Ji-Chun, 2007. "Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process," Statistics & Probability Letters, Elsevier, vol. 77(13), pages 1428-1438, July.
- Carol Alexander & Emese Lazar, 2009. "Modelling Regime-Specific Stock Price Volatility," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 761-797, December.
- repec:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9588-x is not listed on IDEAS
- Liu, Ji-Chun, 2006. "On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1323-1330, July.
More about this item
KeywordsBox-Cox transformation Threshold GARCH Stationary moments Quasilikelihood estimation;
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