Contemporaneous-Threshold Smooth Transition GARCH Models
Year of publication: |
2009-06
|
---|---|
Authors: | Dueker, Michael ; Psaradakis, Zacharias ; Sola, Martin ; Spagnolo, Fabio |
Institutions: | Departamento de Economía, Universidad Torcuato Di Tella |
Subject: | Conditional heteroskedasticity | Smooth transition GARCH | Threshold | Stock returns |
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