Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes

Statistics and Probability Letters

Volumn 68, Issue 3, 2004, Pages 209-220

  Hwang, S Y ^a   Basawa, I V ^b  

^a Sookmyung Women's University   (South Korea)

^b UNIVERSITY OF GEORGIA   (United States)

Author keywords

Box Cox transformation; Quasilikelihood estimation; Stationary moments; Threshold GARCH

Indexed keywords

EID: 3042695364     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2003.08.016     Document Type: Article

References (12)

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