Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation
Year of publication: |
2011
|
---|---|
Authors: | Chan, Felix ; Theoharakis, Billy |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 81.2011, 7, p. 1385-1396
|
Publisher: |
Elsevier |
Subject: | STAR | GARCH | Monte Carlo simulation | Re-parameterization |
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