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Stationarity and moment structure for Box-Cox transformed threshold GARCH(l,l) processes

Authors
Hwang, SYBasawa, IV
Issue Date
Jul-2004
Publisher
ELSEVIER SCIENCE BV
Keywords
Box-cox transformation; threshold GARCH; stationary moments; quasilikelihood estimation
Citation
STATISTICS & PROBABILITY LETTERS, v.68, no.3, pp 209 - 220
Pages
12
Journal Title
STATISTICS & PROBABILITY LETTERS
Volume
68
Number
3
Start Page
209
End Page
220
URI
https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/15855
DOI
10.1016/j.spl.2003.08.016
ISSN
0167-7152
1879-2103
Abstract
This article introduces threshold GARCH(1,1) processes to which Box-Cox transformations are applied. This class of processes includes nonlinear ARCH and GARCH models as special cases. The model accommodates asymmetries in conditional variances through a "threshold". The stationary solution is explicitly obtained and moment structures are investigated. (C) 2003 Elsevier B.V. All rights reserved.
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