On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
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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.
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KeywordsHeavy-tail distribution Box-Cox transformation Threshold GARCH Strict stationarity Existence of moments;
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