Threshold ARCH(1) processes: Asymptotic inference

Statistics and Probability Letters

Volumn 53, Issue 1, 2001, Pages 11-20

  Hwang, S Y ^a   Woo, Mi Ja ^a  

^a Sookmyung Women's University   (South Korea)

Author keywords

Conditional least squares; Financial data in Korea; Geometric ergodicity; Threshold ARCH

Indexed keywords

EID: 0042867372     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(00)00222-4     Document Type: Article

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