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Results 1-2 of 2 (Search time: 0.002 seconds).
Stationarity and moment structure for Box-Cox transformed threshold GARCH(l,l) processes
Hwang, SY
; Basawa, IV
Article
Issue Date
2004
Citation
STATISTICS & PROBABILITY LETTERS, v.68, no.3, pp 209 - 220
Publisher
ELSEVIER SCIENCE BV
Least squares estimation for critical random coefficient first-order autoregressive processes
Hwang, SY
; Basawa, IV; Kim, TY
Article
Issue Date
2006
Citation
STATISTICS & PROBABILITY LETTERS, v.76, no.3, pp 310 - 317
Publisher
ELSEVIER SCIENCE BV
1
Discover
Author
Kim, TY
1
Subject
ARCH MODELS
1
Box-cox transformation
1
critical process
1
quasilikelihood estimation
1
random coefficient AR(1)
1
stationary moments
1
test of criticality
1
threshold GARCH
1
TIME-SERIES
1
weighted and ordinary least squares
1
.
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Date Issued
2006
1
2004
1
Language
ENG
2
Journal
STATISTICS & PROBABILITY LETTERS
2
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