On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process

Statistics and Probability Letters

Volumn 76, Issue 13, 2006, Pages 1323-1330

  Liu, Ji Chun ^a  

^a XIAMEN UNIVERSITY   (China)

Author keywords

Box Cox transformation; Existence of moments; Heavy tail distribution; Strict stationarity; Threshold GARCH

Indexed keywords

EID: 33744825210     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2006.01.009     Document Type: Article

References (15)

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